Rare Event Simulation of Small Noise Diffusions (Q4650170): Difference between revisions

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+https://doi.org/10.1002/cpa.21428
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+W2036213650
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+State-dependent importance sampling for regularly varying random walks
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+A variational representation for certain functionals of Brownian motion
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+Introduction to rare event simulation.
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+Dynamic importance sampling for queueing networks
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