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Importance Sampling for Backward SDEs - MaRDI portal

Importance Sampling for Backward SDEs (Q5305278)

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scientific article; zbMATH DE number 5685284
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English
Importance Sampling for Backward SDEs
scientific article; zbMATH DE number 5685284

    Statements

    title
    Importance Sampling for Backward SDEs (English)
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    author
    Christian Bender
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    Thilo Moseler
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    publication date
    19 March 2010
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    zbMATH Keywords
    BSDE
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    Monte Carlo simulation
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    numerics
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    variance reduction
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    cites work
    Q4433608
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    Identifiers

    Mathematics Subject Classification ID
    65C30
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    65C05
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    91G60
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    91G20
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    zbMATH DE Number
    5685284
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    OpenAlex ID
    W2115474447
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