Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions.

Wed, 01 Jan 2014 00:00:00 +0100

Wei Zhang , Han Wang, Carsten Hartmann, Marcus Weber, Christof Schütte:
Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions. SIAM J. Sci. Comput. 36(6) (2014)