Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (Q5305932)
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scientific article; zbMATH DE number 5686550
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation |
scientific article; zbMATH DE number 5686550 |
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Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation (English)
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24 March 2010
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stochastic approximation algorithms
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constrained algorithm
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unconstrained algorithm
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almost sure convergence
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Esscher transform
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Monte Carlo simulation
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variance reduction
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infinitely divisible distribution
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importance sampling method
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Lévy process
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optimal measure change
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numerical examples
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