Importance Sampling for Backward SDEs

ISSN： 0736-2994

Source： Stochastic Analysis and Applications, Vol.28, Iss.2, 2010-03, pp. : 226-253

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Densities of One-Dimensional Backward SDEs

By Antonelli Fabio Kohatsu-Higa Arturo

Potential Analysis, Vol. 22, Iss. 3, 2005-05 ,pp. : 263-287

Springer Publishing Company

Access to resources Recommend Favorite

Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations∗

By Hao Tao Li Juan

ESAIM: Control, Optimisation and Calculus of Variations, Vol. 22, Iss. 2, 2016-04 ,pp. : 519-538

Edp Sciences

Access to resources Recommend Favorite

Annealed Importance Sampling Reversible Jump MCMC Algorithms

By Karagiannis Georgios Andrieu Christophe

Journal of Computational and Graphical Statistics, Vol. 22, Iss. 3, 2013-07 ,pp. : 623-648

Taylor & Francis Ltd

Access to resources Recommend Favorite

Minimum variance importance sampling via Population Monte Carlo

By Douc R. Guillin A. Marin J.-M. Robert C. P.

ESAIM: Probability and Statistics, Vol. 11, Iss. issue, 2007-08 ,pp. : 427-447

Edp Sciences

Access to resources Recommend Favorite

The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling

Advances in Applied Probability, Vol. 44, Iss. 3, 2012-09 ,pp. : 815-841

Cambridge University Press

Access to resources Recommend Favorite