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Article Dans Une Revue Stochastic Processes and their Applications Année : 2020

Optimal importance sampling for Lévy processes

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hal-04029106 , version 1 (14-03-2023)

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Adrien Genin, Peter Tankov. Optimal importance sampling for Lévy processes. Stochastic Processes and their Applications, 2020, 130 (1), pp.20-46. ⟨10.1016/j.spa.2018.12.019⟩. ⟨hal-04029106⟩
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