Rare event simulation for diffusion processes via two-stage importance sampling (Q2248048)
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scientific article; zbMATH DE number 6309946
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Rare event simulation for diffusion processes via two-stage importance sampling |
scientific article; zbMATH DE number 6309946 |
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Rare event simulation for diffusion processes via two-stage importance sampling (English)
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30 June 2014
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importance sampling
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diffusion processes
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rare events
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cross entropy
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Brownian motion
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0.91291666
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0.9099577
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0.9094299
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0.9093771
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0.8973068
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0.89030576
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0.88784575
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0.88434446
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0.88310415
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0.8828954
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