Robust variance reduction for random walk methods

SIAM Journal on Scientific Computing

Volumn 25, Issue 6, 2004, Pages 1964-1981

  Zou, Gang ^a   Skeel, Robert D ^b  

^a Renaissance Technologies   (United States)

^b University of Illinois at Urbana Champaign   (United States)

Author keywords

Importance sampling; Path integrals; Random walk methods; Stochastic differential equations; Variance reduction

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BROWNIAN MOVEMENT; ENZYMES; LINEAR EQUATIONS; RANDOM PROCESSES; RATE CONSTANTS; WEIGHT CONTROL;

IMPORTANCE SAMPLING; PATH INTEGRALS; RANDOM WALK METHOD; STOCHASTIC DIFFERENTIAL EQUATIONS; VARIANCE REDUCTION;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 10244242685     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1064827503424025     Document Type: Article

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