Forward and reverse representations for Markov chains
Year of publication: |
2006-05
|
---|---|
Authors: | Milstein, Grigori ; Schoenmakers, John ; Spokoiny, Vladimir |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | transition density estimation | forward and reverse Markov chains | Monte Carlo simulation | estimation of risk |
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