State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables

DOI10.1007/s11222-022-10202-2zbMath1516.62006arXiv2201.01340OpenAlexW4319230502MaRDI QIDQ6171770

Raúl Tempone, Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Eya Ben Amar

Publication date: 18 July 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.01340

zbMATH Keywords

Monte Carloimportance samplingstochastic optimal controlrare event

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20)

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