## Applications of the cross-entropy method to importance sampling and optimal control of diffusions

Please always quote using this URN: urn:nbn:de:0297-zib-49720
• We study the cross-entropy method for diffusions. One of the results is a versatile cross-entropy algorithm that can be used to design efficient importance sampling strategies for rare events or to solve optimal control problems. The approach is based on the minimization of a suitable cross-entropy functional, with a parametric family of exponentially tilted probability distributions. We illustrate the new algorithm with several numerical examples and discuss algorithmic issues and possible extensions of the method.

$Rev: 13581$