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Brownian meanders, importance sampling and unbiased simulation of diffusion extremes.

Nan ChenZhengyu Huang
Published in: Oper. Res. Lett. (2012)
Keyphrases
  • importance sampling
  • monte carlo
  • markov chain
  • particle filter
  • kalman filter
  • rare events
  • approximate inference
  • markov chain monte carlo
  • reinforcement learning
  • particle filtering
  • higher order