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Some ideas for bias and variance reduction in the splitting algorithm for diffusion processes.

Damien JacquemartJérôme MorioFrançois 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