Importance Sampling for Multiscale Diffusions

DOI10.1137/110842545zbMath1250.60031arXiv1107.5448OpenAlexW2028622970MaRDI QIDQ2909526

Hui Wang, Paul Dupuis, Konstantinos V. Spiliopoulos

Publication date: 30 August 2012

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.5448

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (26)

A Koopman framework for rare event simulation in stochastic differential equations ⋮ Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Rare Event Simulation for Multiscale Diffusions in Random Environments ⋮ A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ The sample size required in importance sampling ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Maximum likelihood estimation for small noise multiscale diffusions ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Learning-based importance sampling via stochastic optimal control for stochastic reaction networks ⋮ Large deviations for multiscale diffusion via weak convergence methods ⋮ Large deviations and importance sampling for systems of slow-fast motion ⋮ On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ Importance sampling: intrinsic dimension and computational cost ⋮ Large deviations for small noise diffusions in a fast Markovian environment ⋮ Partial differential equations and stochastic methods in molecular dynamics ⋮ Symmetrized importance samplers for stochastic differential equations ⋮ Optimal control of multiscale systems using reduced-order models ⋮ Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles ⋮ Escaping from an attractor: Importance sampling and rest points. I. ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations ⋮ Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms ⋮ Moderate deviations-based importance sampling for stochastic recursive equations ⋮ A Large-Deviation-Based Splitting Estimation of Power Flow Reliability

This page was built for publication: Importance Sampling for Multiscale Diffusions