Simulation of diffusions by means of importance sampling paradigm
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Publication:990386
DOI10.1214/09-AAP659zbMath1204.60075arXiv1010.4447OpenAlexW3099519132MaRDI QIDQ990386
Madalina Deaconu, Antoine Lejay
Publication date: 1 September 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4447
stochastic differential equationsMonte Carlo methodsvariance reductionsimulation of rare eventsDirichlet/Neumann problemsrandom walk of rectanglesrandom walk on squares
Combinatorial probability (60C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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