Importance Sampling for Multiscale Diffusions

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

Paul Dupuis, Hui Wang, 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

60F05: Central limit and other weak theorems

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60F10: Large deviations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations