Importance sampling and statistical Romberg method
type: Item
instance of: scholarly article
title: Importance sampling and statistical Romberg method
zbMATH Open document ID: 1347.60007
DOI: 10.3150/14-BEJ622
author: Mohamed Ben Alaya
author: Kaouther Hajji
author: Ahmed Kebaier
published in: Bernoulli
publication date: 2015-10-30T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.bj/1438777583
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 62L20
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6502613
zbMATH Keywords: importance sampling
zbMATH Keywords: statistical Romberg method
zbMATH Keywords: stochastic algorithm
zbMATH Keywords: central limit theorem
zbMATH Keywords: almost sure convergence
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: Euler scheme
zbMATH Keywords: Heston model
zbMATH Keywords: variance reduction
MaRDI profile type: Publication
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OpenAlex ID: W4320521321
description: scientific article; zbMATH DE number 6502613