Importance sampling for multiscale diffusions
From MaRDI portal
Publication:2909526
Large deviations (60F10) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these problems in the small noise limit. With multiscale processes there are additional complications, and indeed the straightforward adaptation of methods for standard small noise diffusions will not produce efficient schemes. Using the subsolution approach we construct schemes and identify conditions under which the schemes will be asymptotically optimal. Examples and simulation results are provided.
Recommendations
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Large deviations and importance sampling for systems of slow-fast motion
- Rare event simulation for multiscale diffusions in random environments
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Importance sampling in path space for diffusion processes with slow-fast variables
Cited in
(39)- Escaping from an attractor: Importance sampling and rest points. I.
- Importance Sampling for Stochastic Simulations
- Large and moderate deviations for stochastic Volterra systems
- Optimal control of multiscale systems using reduced-order models
- Large deviations for multiscale diffusion via weak convergence methods
- scientific article; zbMATH DE number 2045502 (Why is no real title available?)
- Systemic risk and default clustering for large financial systems
- Importance sampling for the empirical measure of weakly interacting diffusions
- Moderate deviations for fully coupled multiscale weakly interacting particle systems
- Learning-based importance sampling via stochastic optimal control for stochastic reaction networks
- Importance sampling: intrinsic dimension and computational cost
- Rare event simulation for multiscale diffusions in random environments
- A Koopman framework for rare event simulation in stochastic differential equations
- A large-deviation-based splitting estimation of power flow reliability
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- 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
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- Symmetrized importance samplers for stochastic differential equations
- Rare event simulation for diffusion processes via two-stage importance sampling
- Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Partial differential equations and stochastic methods in molecular dynamics
- Importance sampling for a simple Markovian intensity model using subsolutions
- Rare-event simulation for neural network and random forest predictors
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Variance Reduction for the Equation‐Free Simulation of Multiscale Stochastic Systems
- Importance sampling for metastable and multiscale dynamical systems
- Importance sampling for McKean-Vlasov SDEs
- Large deviations for small noise diffusions in a fast Markovian environment
- Maximum likelihood estimation for small noise multiscale diffusions
- An importance sampling method based on the density transformation of Lévy processes
- Simulation of diffusions by means of importance sampling paradigm
- Moderate deviations-based importance sampling for stochastic recursive equations
- The sample size required in importance sampling
- Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms
- Importance sampling in path space for diffusion processes with slow-fast variables
This page was built for publication: Importance sampling for multiscale diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2909526)
