Importance Sampling for Backward SDEs (Q5305278)
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scientific article; zbMATH DE number 5685284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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