Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions (Q5176045)
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scientific article; zbMATH DE number 6409862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions |
scientific article; zbMATH DE number 6409862 |
Statements
Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions (English)
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2 March 2015
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importance sampling
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optimal control
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cross-entropy method
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rare events
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change of measure
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diffusion
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algorithm
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numerical example
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