Variational approach to rare event simulation using least-squares regression
Author:
Affiliation:
1. Institute of Mathematics, Brandenburgische Technische Universität Cottbus—Senftenberg, 03046 Cottbus, Germany
2. Institute of Mathematics, Freie Universität Berlin, 14195 Berlin, Germany
Funder
Deutsche Forschungsgemeinschaft
Publisher
AIP Publishing
Subject
Applied Mathematics,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics
Link
http://aip.scitation.org/doi/pdf/10.1063/1.5090271
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1. A forward scheme for backward SDEs
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