Sequential Control Variates for Functionals of Markov Processes
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Publication:5700316
DOI10.1137/040609124zbMath1093.65003MaRDI QIDQ5700316
Publication date: 28 October 2005
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/040609124
numerical examples; diffusion processes; variance reduction; Feynman-Kac formula; sequential Monte Carlo method; linear Markov processes
60J25: Continuous-time Markov processes on general state spaces
65C05: Monte Carlo methods
60J60: Diffusion processes
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