Importance sampling for multiscale diffusions

DOI10.1137/110842545zbMATH Open1250.60031arXiv1107.5448OpenAlexW2028622970MaRDI QIDQ2909526FDOQ2909526

Authors: Paul Dupuis, Hui Wang, Konstantinos Spiliopoulos 

Publication date: 30 August 2012

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

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.

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

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Mathematics Subject Classification ID

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)

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