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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Revision as of 18:50, 20 February 2024
scientific article
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| English | 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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