Applications of the cross-entropy method to importance sampling and optimal control of diffusions (Q5176045)
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scientific article; zbMATH DE number 6409862
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| English | Applications of the cross-entropy method to importance sampling and optimal control of diffusions |
scientific article; zbMATH DE number 6409862 |
Statements
Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions (English)
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2 March 2015
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importance sampling
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optimal control
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cross-entropy method
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rare events
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change of measure
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diffusion
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algorithm
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numerical example
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0.8242705464363098
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0.7983468174934387
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0.7960399985313416
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0.7813051342964172
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