Rare event simulation for diffusion processes via two-stage importance sampling (Q2248048)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rare event simulation for diffusion processes via two-stage importance sampling |
scientific article |
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Rare event simulation for diffusion processes via two-stage importance sampling (English)
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30 June 2014
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importance sampling
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diffusion processes
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rare events
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cross entropy
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Brownian motion
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