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Importance Sampling, Large Deviations, and Differential Games

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References

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2008Efficient rare-event simulation for the maximum of heavy-tailed random walks103 cited
2010Asymptotic robustness of estimators in rare-event simulation100 cited
2005Dynamic Importance Sampling for Queueing Networks92 cited
2012Rare Event Simulation of Small Noise Diffusions90 cited
2007Importance sampling for sums of random variables with regularly varying tails77 cited
2007Dynamic importance sampling for queueing networks76 cited
2008Fast Simulation of Multifactor Portfolio Credit Risk74 cited
2014A survey of rare event simulation methods for static input–output models

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70 cited

2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited

2008State-dependent importance sampling for regularly varying random walks63 cited

2012Importance Sampling for Multiscale Diffusions60 cited

2014Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions55 cited

2009Importance sampling for Jackson networks51 cited

2007Optimal importance sampling with explicit formulas in continuous time51 cited

2017Variance Reduction48 cited

2007Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue37 cited