Minimum variance importance sampling<i>via</i>Population Monte Carlo (Q5429614)
From MaRDI portal
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 |
Statements
Minimum variance importance sampling<i>via</i>Population Monte Carlo (English)
0 references
30 November 2007
0 references
adaptivity
0 references
cox-ingersoll-Ross model
0 references
Euler scheme
0 references
importance sampling
0 references
mathematical finance
0 references
mixtures
0 references
moderate deviations
0 references
population Monte Carlo
0 references
variance reduction
0 references
0 references
0 references