Variance reduction for diffusions
From MaRDI portal
Publication:491924
DOI10.1016/j.spa.2015.03.006zbMath1323.60105arXiv1406.4657OpenAlexW2964159988MaRDI QIDQ491924
Raoul Normand, Sheng-Jhih Wu, Chii-Ruey Hwang
Publication date: 19 August 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.4657
Monte Carlo methods (65C05) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35) Acceleration of convergence in numerical analysis (65B99)
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