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Volumn 20, Issue 1-2, 2006, Pages 126-139

Probability density estimation in stochastic environmental models using reverse representations

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EID: 30344488733     PISSN: 14363240     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00477-005-0022-5     Document Type: Article
Times cited : (7)

References (17)
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    • Bally, V.1    Talay, D.2
  • 2
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    • The law of the Euler scheme for stochastic differential equations I: Convergence rate of the distribution function
    • Bally V,Talay D (1996b) The law of the Euler scheme for stochastic differential equations I: Convergence rate of the distribution function. Probab Theory Relat Fields 104:43-60
    • (1996) Probab Theory Relat Fields , vol.104 , pp. 43-60
    • Bally, V.1    Talay, D.2
  • 4
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    • Non-uniform random number generation
    • Springer Berlin Heidelberg New York
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    • Devroye, L.1
  • 5
    • 0001896329 scopus 로고
    • The fast Gauss transform
    • 10.1137/0912004
    • Greengrad L, Strain J (1991) The fast Gauss transform. SIAM J sic stat Comp 12:79-94 10.1137/0912004
    • (1991) SIAM J Sic Stat Comp , vol.12 , pp. 79-94
    • Greengrad, L.1    Strain, J.2
  • 7
    • 0003440756 scopus 로고
    • Stochastic processes and filtering theory
    • Academic New York
    • Jazwinsky AW (1970) Stochastic processes and filtering theory. Academic, New York
    • (1970)
    • Jazwinsky, A.W.1
  • 11
    • 2942623146 scopus 로고    scopus 로고
    • Monte Carlo construction of hedging strategies against multi-asset European claims stochastics
    • 10.1080/10451120212868
    • Milstein GN, Schoenmakers JGM (2002)Monte Carlo construction of hedging strategies against multi-asset European claims stochastics. Stochastics Rep 1-2:125-157 10.1080/10451120212868
    • (2002) Stochastics Rep , vol.1-2 , pp. 125-157
    • Milstein, G.N.1    Schoenmakers, J.G.M.2
  • 12
    • 30344448765 scopus 로고    scopus 로고
    • Transition density estimation for stochastic differential equations via forward reverse representations
    • Bernoulli (submitted)
    • Milstein GN, Schoenmakers JGM, Spokoiny V (2002) Transition density estimation for stochastic differential equations via forward reverse representations. Bernoulli (submitted)
    • (2002)
    • Milstein, G.N.1    Schoenmakers, J.G.M.2    Spokoiny, V.3
  • 14
    • 0036687103 scopus 로고    scopus 로고
    • Variance reduction for Monte Carlo simulation of stochastic environmental models
    • 10.1016/S0307-904X(01)00091-9
    • Schoenmakers JGM, Heemink AW, Ponnambalam K, Kloeden PE (2002) Variance reduction for Monte Carlo simulation of stochastic environmental models. Appl Math Model 26:785-795 10.1016/S0307-904X(01)00091-9
    • (2002) Appl Math Model , vol.26 , pp. 785-795
    • Schoenmakers, J.G.M.1    Heemink, A.W.2    Ponnambalam, K.3    Kloeden, P.E.4
  • 15
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    • Density estimation for statistics and data analysis
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    • (1986)
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  • 16
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    • Numerical methods for stochastic environmental models
    • Delft University of Technology. Ph.D. Thesis, Defalt University of Technology
    • Stijnen JW (2002) Numerical methods for stochastic environmental models Delft University of Technology. Ph.D. Thesis, Defalt University of Technology
    • (2002)
    • Stijnen, J.W.1
  • 17
    • 0023093311 scopus 로고
    • Criteria for the selection of stochastic models of particle trajectories in turbulent flows
    • Thomson DJ (1987) Criteria for the selection of stochastic models of particle trajectories in turbulent flows. J Fluid Mech 180:529-556
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.