Convergence of Milstein Brownian bridge Monte Carlo methods and stable Greeks calculation.

Thomas Gerstner Bastian Harrach Daniel Roth

Published in: CoRR (2019)

Keyphrases

monte carlo methods
monte carlo
bayesian networks
convergence rate
simulated annealing
fractal dimension
long run
monte carlo method
neural network
markov chain
feature selection
probabilistic model
particle filter