Subsolutions of an isaacs equation and efficient schemes for importance sampling

Mathematics of Operations Research

Volumn 32, Issue 3, 2007, Pages 723-757

  Dupuis, Paul ^a   Wang, Hui ^a  

^a BROWN UNIVERSITY   (United States)

Author keywords

Importance sampling; Isaacs equation; Large deviations; Monte Carlo; Rare events; Simulation

Indexed keywords

ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; DIFFERENTIAL EQUATIONS; GAME THEORY; MARKOV PROCESSES; MONTE CARLO METHODS; NUMERICAL METHODS; PROBABILITY;

IMPORTANCE SAMPLING; ISAACS EQUATION; LARGE DEVIATIONS; RARE EVENTS;

OPERATIONS RESEARCH;

EID: 36749081774     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1070.0266     Document Type: Article

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