Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions

DOI10.1239/jap/1445543847zbMath1334.60166arXiv1310.6928MaRDI QIDQ3449933

Konstantinos V. Spiliopoulos

Publication date: 30 October 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6928

zbMATH Keywords

importance sampling; stochastic differential equations; Monte Carlo method; asymptotic expansions; large deviations; small noise diffusions

Mathematics Subject Classification ID

60G60: Random fields

60F05: Central limit and other weak theorems

62D05: Sampling theory, sample surveys

65C05: Monte Carlo methods

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

60J60: Diffusion processes

60F10: Large deviations