"Importance sampling for McKean-Vlasov SDEs."

Gonçalo Dos Reis, Greig Smith, Peter Tankov (2023)

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DOI: 10.1016/J.AMC.2023.128078

access: open

type: Journal Article

metadata version: 2023-09-12

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Gonçalo Dos Reis, Greig Smith, Peter Tankov:
Importance sampling for McKean-Vlasov SDEs. Appl. Math. Comput. 453: 128078 (2023)

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