Minimum variance importance samplingviaPopulation Monte Carlo

DOI10.1051/ps:2007028zbMath1181.60028OpenAlexW2133420287MaRDI QIDQ5429614

Randal Douc, Arnaud Guillin, Jean-Michel Marin, Christian P. Robert Robert

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__427_0

zbMATH Keywords

importance samplingadaptivityvariance reductionmoderate deviationsmathematical financeEuler schememixturespopulation Monte Carlocox-ingersoll-Ross model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sequential estimation (62L12) Software, source code, etc. for problems pertaining to numerical analysis (65-04)

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