Advanced Simulation-Based Methods for Optimal Stopping and Control
Denis Belomestny, John Schoenmakers
Inbunden, 2018
1 579 kr
ADVANCED VARIANCE REDUCTION TECHNIQUES FOR MCMC
Inbunden, Engelska, 2027
2 679 kr
Kommande
The book is devoted to contemporary variance reduction methods for Monte Carlo and Markov Chain (MCMC) with Machine Learning and Finance applications. We present new approaches based on martingale representations, and Stein control variates besides the standard techniques. In addition, the book focuses on developing new variance reduction algorithms in MCMC and their theoretical analysis. Readers will find numerical examples that illustrate all proposed algorithms.
Produktinformation
- Utgivningsdatum2027-08-31
- FormatInbunden
- SpråkEngelska
- Antal sidor500
- FörlagWorld Scientific Publishing Co Pte Ltd
- ISBN9789811287770
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