Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs.
René CarmonaLixin WangPublished in: SIAM J. Appl. Math. (2009)
Keyphrases
- monte carlo
- matrix inversion
- markov chain
- importance sampling
- monte carlo simulation
- monte carlo tree search
- monte carlo methods
- particle filter
- markovian decision
- adaptive sampling
- stochastic approximation
- global illumination
- game tree search
- monte carlo method
- optimal solution
- temporal difference
- simulation study
- search algorithm