Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process.
Juan Miguel MontesValentina PreziosoWolfgang J. RunggaldierPublished in: SIAM J. Financial Math. (2014)
Keyphrases
- markov chain
- monte carlo
- finite state
- markov process
- variance reduction
- markov processes
- importance sampling
- stationary distribution
- stochastic process
- quasi monte carlo
- transition probabilities
- state space
- average cost
- confidence intervals
- partially observable markov decision processes
- machine learning
- policy evaluation
- markov chain monte carlo
- policy gradient