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math.PR2022★ 1 cited
Existence of relaxed optimal control for G-neutral stochastic functional differential equations with uncontrolled diffusion
Nabil Elgroud, Hacene Boutabia, Amel Redjil +1
In this paper, we study the question of existence and uniqueness of solution of neutral stochastic functional differential equations driven by G- Brownian motion (GNSFDEs in short)…
math.PR2019★ 22 cited
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…