Importance sampling for Kolmogorov backward equations

DOI10.1007/S10182-013-0223-ZzbMATH Open1443.62010OpenAlexW2169358392MaRDI QIDQ1621680FDOQ1621680

Authors: Hermann Singer 

Publication date: 9 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-013-0223-z

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zbMATH Keywords

option pricingFeynman-Kac formulaMonte Carlo methodstochastic differential equationstransport equationlikelihood functionsdrift correction

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Cited In (2)

• Importance sampling for backward SDEs
• Importance sampling for McKean-Vlasov SDEs

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