Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem

Author: Gusev S.  

Publisher: MAIK Nauka/Interperiodica

ISSN: 1995-4239

Source: Numerical Analysis and Applications, Vol.4, Iss.2, 2011-04, pp. : 114-124

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Abstract