Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions

Journal of Applied Probability

Volumn 52, Issue 3, 2015, Pages 797-810

  Spiliopoulos, Konstantinos ^a  

^a USA   (United States)

Author keywords

Asymptotic expansion; Importance sampling; Large deviation; Monte Carlo

Indexed keywords

EID: 84946050066     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1445543847     Document Type: Article

References (16)

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