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Optimal importance sampling for simulation of lévy processes.

Guangxin JiangMichael C. FuChenglong Xu
Published in: WSC (2015)
Keyphrases
  • importance sampling
  • monte carlo
  • markov chain
  • rare events
  • optimal solution
  • kalman filter
  • approximate inference
  • particle filtering
  • higher order
  • closed form