Minimum variance importance sampling<i>via</i>Population Monte Carlo (Q5429614)
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scientific article; zbMATH DE number 5216892
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimum variance importance sampling<i>via</i>Population Monte Carlo |
scientific article; zbMATH DE number 5216892 |
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Minimum variance importance sampling<i>via</i>Population Monte Carlo (English)
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30 November 2007
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adaptivity
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cox-ingersoll-Ross model
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Euler scheme
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importance sampling
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mathematical finance
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mixtures
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moderate deviations
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population Monte Carlo
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variance reduction
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