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

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Author:Wei Zhang, Han Wang, Carsten Hartmann, Marcus Weber, Christof Schütte
Document Type:Article
Parent Title (English):Siam Journal on Scientific Computing
Volume:36
Issue:6
First Page:A2654
Last Page:A2672
Year of first publication:2014
Preprint:urn:nbn:de:0297-zib-49720
DOI:http://dx.doi.org/10.1137/14096493X

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