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New Monte Carlo schemes for simulating diffusions in discontinuous media.
Antoine Lejay
Sylvain Maire
Published in:
J. Comput. Appl. Math. (2013)
Keyphrases
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monte carlo
monte carlo methods
markov chain
monte carlo simulation
particle filter
simulation study
importance sampling
monte carlo tree search
markovian decision
temporal difference
stochastic approximation
adaptive sampling
uct algorithm
monte carlo method
matrix inversion