Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance.
Michael B. GilesChristoph ReisingerPublished in: SIAM J. Financial Math. (2012)
Keyphrases
- monte carlo
- markov chain
- monte carlo simulation
- importance sampling
- monte carlo methods
- adaptive sampling
- simulation study
- stochastic approximation
- monte carlo tree search
- point processes
- optimal strategy
- matrix inversion
- particle filter
- game tree search
- global illumination
- temporal difference
- variance reduction
- quasi monte carlo
- markovian decision