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A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance.
Giray Ökten
Bruno Tuffin
Vadim Burago
Published in:
J. Complex. (2006)
Keyphrases
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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