Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions
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Publication:5084494
DOI10.1287/stsy.2021.0076zbMath1489.60135arXiv1903.06812OpenAlexW3197562178MaRDI QIDQ5084494
Xin Liu, Zicheng Wang, Kevin Leder
Publication date: 24 June 2022
Published in: Stochastic Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.06812
large deviation principlevariational problemssubsolutionsrare event simulationssemimartingale reflecting Brownian motionsparticle splitting algorithms
Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Large deviations (60F10)
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