In this paper we explain how the importance sampling technique can be generalized from simulating expectations to … success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing …

Algorithms, Gibbs Sampling and Metropolis-Hastings Algorithm. Network and security risk management application focus is on how …

Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …