Moderate deviations-based importance sampling for stochastic recursive equations
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DOI: 10.1017/apr.2017.31
Abstract: Abstract Subsolutions to the Hamilton–Jacobi–Bellman equation associated with a moderate deviations approximation are used to design importance sampling changes of measure for stochastic recursive equations. Analogous to what has been done for large deviations subsolution-based… read more here.
Keywords: stochastic recursive; moderate deviations; importance sampling; based importance ... See more keywords