Complex systems in finance: Monte Carlo evaluation of first passage time density functions.
Olena TsviliukDi ZhangRoderick V. N. MelnikPublished in: ICCS (2010)
Keyphrases
- monte carlo
- complex systems
- density function
- dynamic systems
- importance sampling
- markov chain
- monte carlo simulation
- monte carlo methods
- markovian decision
- adaptive sampling
- monte carlo tree search
- mean shift
- particle filter
- probability density function
- density distribution
- multi agent systems
- variance reduction
- search algorithm
- learning algorithm
- machine learning
- steady state simulation
- data mining