Sequential Control Variates for Functionals of Markov Processes (Q5700316)
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scientific article; zbMATH DE number 2220049
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| English | Sequential Control Variates for Functionals of Markov Processes |
scientific article; zbMATH DE number 2220049 |
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Sequential Control Variates for Functionals of Markov Processes (English)
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28 October 2005
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sequential Monte Carlo method
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Feynman-Kac formula
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variance reduction
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linear Markov processes
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diffusion processes
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numerical examples
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0.89153904
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0.8893822
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0.88035345
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0.87824225
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0.8711368
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