Optimal importance sampling for continuous Gaussian fields

DOI10.1515/JAA-2020-2022zbMATH Open1460.60017OpenAlexW3093775021MaRDI QIDQ830273FDOQ830273

Barbara Pacchiarotti

Publication date: 7 May 2021

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa-2020-2022

zbMATH Keywords

Gaussian fieldsimportance samplinglarge deviations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Gaussian processes (60G15)

Cites Work

• The integral of geometric Brownian motion
• Exponential functionals of Brownian motion and disordered systems
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• On the Laplace method for Gaussian measures in a Banach space
• Optimal importance sampling for the Laplace transform of exponential Brownian functionals
• Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
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