Adaptive importance sampling with forward-backward stochastic differential equations (Q2181461)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive importance sampling with forward-backward stochastic differential equations |
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Adaptive importance sampling with forward-backward stochastic differential equations (English)
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19 May 2020
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importance sampling
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rare events
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path sampling
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forward-backward SDE
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least squares Monte Carlo
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