An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium (Q2406621): Difference between revisions

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Latest revision as of 12:41, 14 July 2024

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An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium
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    An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium (English)
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    5 October 2017
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    Monte Carlo estimators
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    systems of linear SDEs
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    asymptotic almost sure stability
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    asymptotic mean-square stability
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    variance reduction
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    rare event simulation
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    numerical example
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    importance sampling
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