Applications of the cross-entropy method to importance sampling and optimal control of diffusions
Author: | Wei Zhang, Han Wang, Carsten Hartmann, Marcus Weber, Christof Schütte |
---|---|
DOI: | https://doi.org/10.1137/14096493X |
ISSN: | 1095-7197 |
Title of the source (English): | SIAM (Society for Industrial and Applied Mathematics) |
Document Type: | Scientific journal article peer-reviewed |
Language: | English |
Year of publication: | 2014 |
Volume/Year: | 36 |
Issue number: | 6 |
First Page: | A2654 |
Last Page: | A2672 |
Faculty/Chair: | Fakultät 1 MINT - Mathematik, Informatik, Physik, Elektro- und Informationstechnik / FG Stochastik und ihre Anwendungen |