Sequential Control Variates for Functionals of Markov Processes
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Publication:5700316
DOI10.1137/040609124zbMath1093.65003OpenAlexW2011852521MaRDI 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 examplesdiffusion processesvariance reductionFeynman-Kac formulasequential Monte Carlo methodlinear Markov processes
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