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You are here: Home :: Keyword index :: gen bis Hyd :: Gestational myometrium - Glass beads Girsanov theorem

Items for "Girsanov theorem"

Weak solutions and a YamadaWatanabe theorem for FBSDEs

We prove a YamadaWatanabe theorem for forward-backward stochastic differential equations (FBSDEs)...

Keywords: Forward-backward stochastic differential equation, weak solution, YamadaWatanabe theorem, Girsanov theorem, Burgers equation

10/2007 | Random Operators and Stochastic Equations, Walter de Gruyter
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation

Combined control variates and importance sampling variance reduction and its two-fold optimality are investigated...

Keywords: Control variates, Girsanov theorem, Importance Sampling, Monte Carlo methods, stochastic approximation, two time scales, variance reduction

08/2007 | Monte Carlo Methods and Applications, Walter de Gruyter