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math.PR2005★ 34 cited
On the convergence from discrete to continuous time in an optimal stopping problem
Paul Dupuis, Hui Wang
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonant…
math.PR2005★ 66 cited
Dynamic importance sampling for uniformly recurrent markov chains
Paul Dupuis, Hui Wang
Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is si…