The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297)
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scientific article; zbMATH DE number 7110420
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| English | The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions |
scientific article; zbMATH DE number 7110420 |
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The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (English)
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26 September 2019
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exact sampling
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Heston
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squared Bessel
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stochastic collocation
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Lagrange interpolation
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Monte Carlo
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0.87034184
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0.8671899
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0.86673987
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0.8633511
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0.8632574
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0.8608334
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0.86082757
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0.8579609
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