Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
From MaRDI portal
Recommendations
- Importance Sampling, Large Deviations, and Differential Games
- Dynamic importance sampling for queueing networks
- On Lyapunov inequalities and subsolutions for efficient importance sampling
- Moderate deviations-based importance sampling for stochastic recursive equations
- Importance sampling for multiscale diffusions
Cited in
(51)- Importance sampling for a Markov modulated queuing network
- Rare event simulation via importance sampling for linear SPDE's
- Symmetrized importance samplers for stochastic differential equations
- Large deviations and importance sampling for systems of slow-fast motion
- A Koopman framework for rare event simulation in stochastic differential equations
- Splitting algorithms for rare event simulation over long time intervals
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Asymptotically optimal importance sampling for Jackson networks with a tree topology
- Importance sampling for non-Markovian tandem queues using subsolutions
- Large deviations and importance sampling for a tandem network with slow-down
- Dynamic importance sampling for queueing networks
- Sensitivity analysis for rare events based on Rényi divergence
- Approximation of bounds on mixed-level orthogonal arrays
- Solutions of the First-Passage Problem by Importance Sampling
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Rare event simulation for multiscale diffusions in random environments
- Moderate deviations for recursive stochastic algorithms
- Efficient rare-event simulation for perpetuities
- Importance sampling for metastable and multiscale dynamical systems
- Approximation of excessive backlog probabilities of two tandem queues
- Systemic risk and default clustering for large financial systems
- An automatic adaptive importance sampling algorithm for molecular dynamics in reaction coordinates
- On Lyapunov inequalities and subsolutions for efficient importance sampling
- Quantitative differentiation: a general formulation
- Rare event simulation of small noise diffusions
- Importance Sampling, Large Deviations, and Differential Games
- Moderate deviation principles for importance sampling estimators of risk measures
- Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
- Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit
- Moderate deviation principle for multivalued stochastic differential equations
- Central limit theorem and moderate deviations for a perturbed stochastic Cahn-Hilliard equation
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Variational approach to rare event simulation using least-squares regression
- Moderate deviations-based importance sampling for stochastic recursive equations
- A cross-entropy scheme for mixtures
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Importance sampling for the empirical measure of weakly interacting diffusions
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- Importance sampling for a simple Markovian intensity model using subsolutions
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
- State-dependent importance sampling schemes via minimum cross-entropy
- Importance sampling in path space for diffusion processes with slow-fast variables
- Moderate deviation principles for stochastic differential equations with jumps
- Hitting probabilities of constrained random walks representing tandem networks
- Escaping from an attractor: Importance sampling and rest points. I.
- Importance sampling for Jackson networks
- Large deviations for weighted empirical measures arising in importance sampling
This page was built for publication: Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5388058)
