Login / Signup
Some ideas for bias and variance reduction in the splitting algorithm for diffusion processes.
Damien Jacquemart
Jérôme Morio
François Le Gland
Published in:
J. Comput. Sci. (2015)
Keyphrases
</>
variance reduction
worst case
dynamic programming
monte carlo
diffusion processes
objective function
probabilistic model
diffusion process
bias variance decomposition