Rare event simulation for stochastic dynamics in continuous time

DOI10.1007/s10955-019-02340-1zbMath1436.60085arXiv1810.00693OpenAlexW3105274927MaRDI QIDQ2328699

Letizia Angeli, Andrea Pizzoferrato, Adam M. Johansen, Stefan Grosskinsky

Publication date: 10 October 2019

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.00693

zbMATH Keywords

sequential Monte Carlointeracting particle systemscloning algorithmdynamic large deviations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Interacting particle systems in time-dependent statistical mechanics (82C22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (6)

Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction ⋮ Efficient large deviation estimation based on importance sampling ⋮ Approximating the cumulant generating function of triangles in the Erdös-Rényi random graph ⋮ Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation ⋮ Sampling rare events across dynamical phase transitions ⋮ Limit theorems for cloning algorithms

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