Rare Event Simulation of Small Noise Diffusions (Q4650170): Difference between revisions

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Latest revision as of 21:45, 5 July 2024

scientific article; zbMATH DE number 6110297
Language Label Description Also known as
English
Rare Event Simulation of Small Noise Diffusions
scientific article; zbMATH DE number 6110297

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    Rare Event Simulation of Small Noise Diffusions (English)
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    23 November 2012
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    stochastic differential equations
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    numerical examples
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    sampling method
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    rare event problems
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    small noise diffusion
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    Monte Carlo schemes
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    zero variance importance sampling scheme
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    Hamilton-Jacobi equation
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    noisy Allen-Cahn equation
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