84 citations · 277 across the 25 of their papers we have counts for
3 papers · 1 filter
An -Variational Formula on Wiener Space
David Criens, Carsten Hartmann, Michael Kupper
We establish a stochastic control representation for -norms on Wiener space. For every and every non-negative universally measurable functional , we show that $$\|φ…
Variational approach to rare event simulation using least-squares regression
Carsten Hartmann, Omar Kebiri, Lara Neureither +1
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by a diffusion. The scheme is based on a Gibbs variational…
Importance sampling in path space for diffusion processes with slow-fast variables
Carsten Hartmann, Christof Schütte, Marcus Weber +1
Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling i…