Splitting for rare event simulation: A large deviation approach to design and analysis
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Publication:1004406
DOI10.1016/j.spa.2008.02.017zbMath1157.60019arXiv0711.2037MaRDI 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 equation; simulation; Monte Carlo; branching process; large deviations; variance reduction; subsolutions; rare event