Importance Sampling, Large Deviations, and Differential Games

By Paul Dupuis, Hui Wang. 2004

181 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/20c5d3e8a0956c6a063adc376d2c66b703624ff4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jingcheng Liu
2. Jose H. Blanchet

In Management Science and Operations Research

1. Jingcheng Liu
2. Jose H. Blanchet
3. Persi Diaconis
4. Sourav Chatterjee

In Statistics and Probability

1. Jingcheng Liu
2. Jose H. Blanchet

Citations in the corpus

• State-dependent importance sampling for regularly varying random walks (2008, background): “Indeed, it is well known that from the proof of asymptotic lower bounds in traditional large deviations results we can obtain a change of measure that often (but unfortunately not always—see Glasserman and Wang (1997) and Glasserman and Kou (1995)) can be proved to be efficient; Dupuis and Wang (20”