Milstein, Grigori; Schoenmakers, John; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
reverse Markov chains,
Monte Carlo simulation, estimation of risk
AMS 2000 Subject Classiflcation: 60J05, 60H10, 62G07, 65C05 …. N. Milsteinb, J.G.M. Schoenmakersa, V. Spokoinya y
May 2, 2006
Keywords: transition density estimation, forward and …