Importance sampling in path space for diffusion processes with slow-fast variables
Author: | Carsten Hartmann, Christof Schütte, Marcus Weber, Wei Zhang |
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DOI: | https://doi.org/10.1007/s00440-017-0755-3 |
ISSN: | 0178-8051 |
ISSN: | 1432-2064 |
Title of the source (English): | Probability Theory and Related Fields |
Document Type: | Scientific journal article peer-reviewed |
Language: | English |
Year of publication: | 2018 |
Volume/Year: | 170 |
Issue number: | 1-2 |
First Page: | 177 |
Last Page: | 228 |
Faculty/Chair: | Fakultät 1 MINT - Mathematik, Informatik, Physik, Elektro- und Informationstechnik / FG Stochastik und ihre Anwendungen |