Splitting for rare event simulation: A large deviation approach to design and analysis
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Publication:1004406
DOI10.1016/j.spa.2008.02.017zbMath1157.60019arXiv0711.2037OpenAlexW1975974871MaRDI QIDQ1004406
Publication date: 10 March 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.2037
Hamilton-Jacobi-Bellman equationsimulationMonte Carlobranching processlarge deviationsvariance reductionsubsolutionsrare event
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Cites Work
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- Counterexamples in importance sampling for large deviations probabilities
- Dynamic importance sampling for uniformly recurrent Markov chains
- Dynamic importance sampling for queueing networks
- Genealogical particle analysis of rare events
- A large deviations perspective on the efficiency of multilevel splitting
- Analysis of an importance sampling estimator for tandem queues
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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