Importance Sampling for Backward SDEs (Q5305278)

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scientific article; zbMATH DE number 5685284
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Importance Sampling for Backward SDEs
scientific article; zbMATH DE number 5685284

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    Importance Sampling for Backward SDEs (English)
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    19 March 2010
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    BSDE
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    Monte Carlo simulation
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    numerics
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    variance reduction
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