Applications of the cross-entropy method to importance sampling and optimal control of diffusions
Author: | Wei Zhang, Han Wang, Carsten HartmannORCiD, Marcus Weber, Christof Schütte |
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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: | https://doi.org/10.1137/14096493X |