Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010): Difference between revisions
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 93C57 / rank | |||
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| Property / Mathematics Subject Classification ID: 49L20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / Mathematics Subject Classification ID: 93E24 / rank | |||
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| Property / zbMATH DE Number: 6696064 / rank | |||
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backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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empirical regressions | |||
| Property / zbMATH Keywords: empirical regressions / rank | |||
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importance sampling | |||
| Property / zbMATH Keywords: importance sampling / rank | |||
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Revision as of 05:09, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations |
scientific article |
Statements
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (English)
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20 March 2017
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backward stochastic differential equations
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empirical regressions
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importance sampling
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