Symmetrized importance samplers for stochastic differential equations

DOI10.2140/camcos.2018.13.215zbMath1401.65010arXiv1707.02695OpenAlexW2734908640WikidataQ129643707 ScholiaQ129643707MaRDI QIDQ1789237

Kevin K. Lin, Matthias Morzfeld, Andrew J. 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

importance samplingsymmetrizationstochastic differential equationsdata assimilationsmall noise theory

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• A random map implementation of implicit filters
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• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Sequential Monte Carlo Methods for Dynamic Systems
• Rare Event Simulation of Small Noise Diffusions
• Importance Sampling, Large Deviations, and Differential Games
• Stochastic Tools in Mathematics and Science
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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