Computing mean first exit times for stochastic processes using multi-level Monte Carlo.

Desmond J. Higham Mikolaj Roj

Published in: WSC (2012)

Keyphrases

monte carlo
stochastic processes
stochastic process
markov chain
importance sampling
probability distribution
random fields
monte carlo simulation
monte carlo methods
random variables
particle filter
monte carlo tree search
machine learning
feature selection
matrix inversion
adaptive sampling