Stochastic Simulation: Variance Reduction Techniques

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Description

This lecture covers stochastic simulation and variance reduction techniques, focusing on Courra variate and auxiliary distribution generation. It discusses the outcome of stochastic models, assumptions, and the idea behind generating auxiliary distributions. The instructor explains the importance of transition kernels and drift changes for stochastic processes.

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https://mediaspace.epfl.ch/media/0_51neprs8

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