A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance.
Giray ÖktenBruno TuffinVadim BuragoPublished in: J. Complex. (2006)
Keyphrases
- monte carlo
- error bounds
- central limit theorem
- computational finance
- markov chain
- importance sampling
- monte carlo simulation
- theoretical analysis
- monte carlo tree search
- adaptive sampling
- worst case
- financial forecasting
- computational intelligence
- monte carlo methods
- particle filter
- matrix inversion
- probability distribution
- temporal difference
- genetic programming
- variance reduction
- artificial intelligence
- optimal strategy
- search algorithm