Importance sampling for the empirical measure of weakly interacting diffusions

DOI10.1007/s00245-023-10075-5zbMath1530.60027arXiv2210.08591MaRDI QIDQ6142541

Unnamed Author, M. Heldman

Publication date: 4 January 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.08591

zbMATH Keywords

Hamilton-Jacobi-Bellman equationimportance samplinglarge deviationsinteracting particle systemsempirical measure

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Large deviations (60F10) Hamilton-Jacobi equations (35F21)

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