Rare event simulation for diffusion processes via two-stage importance sampling

DOI10.1515/MCMA-2013-0019zbMath1293.65014OpenAlexW1439202096MaRDI QIDQ2248048

Alexandre Scott, Adam Metzler

Publication date: 30 June 2014

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0019

zbMATH Keywords

importance samplingrare eventsBrownian motiondiffusion processescross entropy

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

This page was built for publication: Rare event simulation for diffusion processes via two-stage importance sampling