On the Malliavin approach to Monte Carlo approximation of conditional expectations.
Bruno BouchardIvar EkelandNizar TouziPublished in: Finance Stochastics (2004)
Keyphrases
- monte carlo
- markovian decision
- importance sampling
- markov chain
- adaptive sampling
- simulation study
- monte carlo methods
- monte carlo simulation
- stochastic approximation
- particle filter
- optimal strategy
- temporal difference
- markov chain monte carlo
- computational cost
- confidence intervals
- monte carlo tree search
- quasi monte carlo
- state space
- conditional probabilities