Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities

DOI10.1007/s11009-021-09892-4zbMath1506.60005OpenAlexW4210340294MaRDI QIDQ2684914

Henk A. P. Blom, Hao Ma

Publication date: 17 February 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09892-4

zbMATH Keywords

Monte Carlo methodinteracting particlesreach probabilitymulti-dimensional diffusion processmultilevel importance splitting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08)

Cites Work

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