Double-loop importance sampling for McKean-Vlasov stochastic differential equation (Q6643237)
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scientific article; zbMATH DE number 7949302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Double-loop importance sampling for McKean-Vlasov stochastic differential equation |
scientific article; zbMATH DE number 7949302 |
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Double-loop importance sampling for McKean-Vlasov stochastic differential equation (English)
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26 November 2024
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McKean-Vlasov stochastic differential equation
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importance sampling
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rare events
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stochastic optimal control
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decoupling approach
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double-loop Monte Carlo method
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