Rare Event Simulation of Small Noise Diffusions (Q4650170)
From MaRDI portal
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)
0 references
23 November 2012
0 references
stochastic differential equations
0 references
numerical examples
0 references
sampling method
0 references
rare event problems
0 references
small noise diffusion
0 references
Monte Carlo schemes
0 references
zero variance importance sampling scheme
0 references
Hamilton-Jacobi equation
0 references
noisy Allen-Cahn equation
0 references
