State-dependent Importance Sampling for Estimating Expectations of Functionals of Sums of Independent Random Variables

Ben Amar, E, Ben Rached, N, Hai-Ali, A-L et al. (1 more author) (2023) State-dependent Importance Sampling for Estimating Expectations of Functionals of Sums of Independent Random Variables. Statistics and Computing, 33. 40. ISSN 0960-3174

Abstract

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Item Type: Article
Authors/Creators:
  • Ben Amar, E
  • Ben Rached, N
  • Hai-Ali, A-L
  • Tempone, R
Copyright, Publisher and Additional Information:

© The Author(s) 2023. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.

Keywords: Monte Carlo, rare event, importance sampling, stochastic optimal control
Dates:
  • Published: 4 February 2023
  • Accepted: 22 December 2022
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 21 Feb 2025 15:39
Last Modified: 21 Feb 2025 15:39
Status: Published
Publisher: Springer Nature
Identification Number: 10.1007/s11222-022-10202-2
Open Archives Initiative ID (OAI ID):

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