Importance Sampling, Large Deviations, and Differential Games

DOI10.1080/10451120410001733845zbMath1076.65003OpenAlexW2000521974MaRDI QIDQ4659569

Hui Wang, Paul Dupuis

Publication date: 21 March 2005

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120410001733845

zbMATH Keywords

simulationimportance samplingnumerical examplesstochastic controllarge deviationsasymptotic optimalityIsaacs equationMonte Carlo estimationdifferentiable games

Mathematics Subject Classification ID

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