Optimal importance sampling for continuous Gaussian fields

DOI10.1515/jaa-2020-2022zbMath1460.60017OpenAlexW3093775021MaRDI QIDQ830273

Barbara Pacchiarotti

Publication date: 7 May 2021

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa-2020-2022

zbMATH Keywords

importance samplinglarge deviationsGaussian fields

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Large deviations (60F10)

Cites Work

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• On the Laplace Method for Gaussian Measures in a Banach Space
• Optimal importance sampling for the Laplace transform of exponential Brownian functionals
• Exponential functionals of Brownian motion and disordered systems

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