Simulation of diffusions by means of importance sampling paradigm (Q990386): Difference between revisions

The aim of the paper is to introduce a new Monte Carlo method for the numerical simulation of a parabolic or an elliptic partial differential equation. The method is based on the idea of considering a Brownian motion with constant drift evolving in a parallelepided and of simulating its first exit time and position by using an importance sampling technique. By repeating the procedure and weighting the simulated paths one can get the density on the boundary or at a given time of the particles. The weights are easy to compute from the density of the real Brownian motion in an interval. Compared to the Euler scheme this method allows one to obtain a more accurate approximation of diffusions when one has to consider complex boundary conditions. It also provides an interesting alternative to performing variance reduction techniques and simulating rare events.