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Importance Sampling for Multiscale Diffusions

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References

1998A variational representation for certain functionals of Brownian motion270 cited
2004Importance Sampling, Large Deviations, and Differential Games147 cited

Cited by

2014Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions55 cited
2024Multi-scale Simulation of Complex Systems: A Perspective of Integrating Knowledge and Data45 cited
20162 LARGE DEVIATIONS AND IMPORTANCE SAMPLING FOR SYSTEMS OF SLOW-FAST MOTION43 cited
2012Large Deviations and Importance Sampling for Systems of Slow-Fast Motion42 cited
2022Large and moderate deviations for stochastic Volterra systems28 cited
2017Importance sampling in path space for diffusion processes with slow-fast variables24 cited

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