Abstract
In Chap. 14 we considered the problem of rare event simulation associated with small noise discrete time Markov processes of the form analyzed in Chap. 4. Two types of events were emphasized: those that are described by process behavior on a bounded time interval (finite-time problems) and those that concern properties of the process over unbounded time horizons (e.g., exit probability problems).
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Budhiraja, A., Dupuis, P. (2019). Performance of an IS Scheme Based on a Subsolution. In: Analysis and Approximation of Rare Events. Probability Theory and Stochastic Modelling, vol 94. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-9579-0_15
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DOI: https://doi.org/10.1007/978-1-4939-9579-0_15
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