Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
DOI10.1007/S11009-007-9043-5zbMath1146.65012OpenAlexW2011072577MaRDI QIDQ931375
Publication date: 25 June 2008
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2381/4694
stochastic approximationMonte Carlo simulationsvariance reductioninfinitely divisible distributiongamma distributionmathematical financeGirsanov theoremEsscher transformgamma copula
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Stochastic learning and adaptive control (93E35) Sequential statistical analysis (62L10) Analysis of variance and covariance (ANOVA) (62J10)
Related Items (12)
Cites Work
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