Large deviations for weighted empirical measures arising in importance sampling

A Weak Convergence Approach to the Theory of Large Deviations

P. Dupuis and R. S. Ellis · 1997

Earlier work this paper cites.

Large Deviations Techniques and Applications

A. Dembo and O. Zeitouni · 1998

Earlier work this paper cites.

Importance sampling, large deviations and differential games

P. Dupuis and H. Wang · 2004

Earlier work this paper cites.

Genealogical particle analysis of rare events

P. Del Moral and J. Garnier · 2005

Earlier work this paper cites.

Stochastic Simulation: Algorithms and Analysis

S. Asmussen and P. W. Glynn · 2007

Cited alongside, same era.

Subsolutions of an Isaacs equation and efficient schemes for importance sampling

P. Dupuis and H. Wang · 2007

Cited alongside, same era.

Splitting for rare event simulation: a large deviation approach to design and analysis

T. Dean and P. Dupuis · 2009

Cited alongside, same era.

Rare event simulation using Monte Carlo methods

G. Rubino and B.Tuffin, editors · 2009

Later among the works it cites.

Analysis of an interacting particle method for rare event estimation

P. Dupuis and Y. Cai · 2013

Closest in time.

Large deviations for bootstrapped empirical measures

J. Trashorras and O. Wintenberger · 2014

Closest in time.