Rare Event Simulation of Small Noise Diffusions

DOI10.1002/cpa.21428zbMath1268.65015OpenAlexW2036213650MaRDI QIDQ4650170

Jonathan Weare, Eric Vanden-Eijnden

Publication date: 23 November 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21428

zbMATH Keywords

Hamilton-Jacobi equationnumerical examplesstochastic differential equationssampling methodMonte Carlo schemessmall noise diffusionnoisy Allen-Cahn equationrare event problemszero variance importance sampling scheme

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Hamilton-Jacobi equations (35F21)

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Uses Software

• Ipopt

Cites Work

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