Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions (Q3449933)
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scientific article; zbMATH DE number 6502537
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| English | Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions |
scientific article; zbMATH DE number 6502537 |
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Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions (English)
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30 October 2015
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small noise diffusions
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stochastic differential equations
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importance sampling
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large deviations
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asymptotic expansions
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Monte Carlo method
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0.9008184
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0.8987801
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0.8922834
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0.8918176
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0.89172447
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0.8829373
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0.8808318
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0.87771916
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