The use of importance sampling in the solution of stochastic differential equations.

zbMath1056.60066MaRDI QIDQ1432641

Gennady A. Mikhailov, Mikhail A. Marchenko

Publication date: 15 June 2004

Published in: Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

importance samplingstochastic differential equationsvariance reductionstatistical estimatorsnon-exit probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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