Large and moderate deviations for moving average processes
Moderate deviations of empirical periodogram and non-linear functionals of moving average processes
Modified logarithmic Sobolev inequalities in null curvature.
Minimum variance importance sampling Population Monte Carlo
Variance reduction has always been a central issue in Monte Carlo experiments. Population Monte Carlo can be used to this effect, in that a mixture of importance functions, called a D-kernel, can be iteratively optimized to achieve the minimum asymptotic variance for a function of interest among all possible mixtures. The implementation of this iterative scheme is illustrated for the computation of the price of a European option in the Cox-Ingersoll-Ross model. A Central Limit theorem as well...
Page 1