Symmetrized importance samplers for stochastic differential equations

DOI10.2140/CAMCOS.2018.13.215MaRDI QIDQ1789237zbMATH OpenOpenAlexWikidataFDO

Authors Kevin K. Lin, Matthias Morzfeld, Andrew Leach

Publication date 10 October 2018

Published in Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.02695

zbMATH Keywords

data assimilationimportance samplingstochastic differential equationssymmetrizationsmall noise theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: We study a class of importance sampling methods for stochastic differential equations (SDEs). A small-noise analysis is performed, and the results suggest that a simple symmetrization procedure can significantly improve the performance of our importance sampling schemes when the noise is not too large. We demonstrate that this is indeed the case for a number of linear and nonlinear examples. Potential applications, e.g., data assimilation, are discussed.

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Cites work

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Cited in

(2)

• The use of importance sampling in the solution of stochastic differential equations.
• Small-noise analysis and symmetrization of implicit Monte Carlo samplers

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