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