Rare Event Simulation for Multiscale Diffusions in Random Environments

DOI10.1137/140991376zbMath1344.60068arXiv1410.0386OpenAlexW2963651881MaRDI QIDQ3459656

Konstantinos V. Spiliopoulos

Publication date: 11 January 2016

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

Full work available at URL: https://arxiv.org/abs/1410.0386

zbMATH Keywords

importance samplingMonte Carlo methodlarge deviationsrandom environmentsrare event simulationmultiscale diffusionsquenched homogenization

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Processes in random environments (60K37) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Importance Sampling for Metastable and Multiscale Dynamical Systems, Importance sampling in path space for diffusion processes with slow-fast variables

Uses Software

• MersenneTwister

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large deviations for multiscale diffusion via weak convergence methods
• Escaping from an attractor: Importance sampling and rest points. I.
• Diffusion in a locally stationary random environment
• Diffusion processes with generators of generalized divergence form
• Large deviations for diffusion processes with homogenization and applications
• A comparison of homogenization and large deviations, with applications to wavefront propagation
• Large deviations and importance sampling for systems of slow-fast motion
• Comparative analysis of multiscale Gaussian random field simulation algorithms
• Controlled Markov processes and viscosity solutions
• Quenched large deviations for multiscale diffusion processes in random environments
• Homogenization of a bond diffusion in a locally ergodic random environment.
• Stochastic simulation: Algorithms and analysis
• Importance Sampling for Multiscale Diffusions
• Stochastic homogenization of Hamilton-Jacobi-Bellman equations
• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Mersenne twister
• Rare Event Simulation of Small Noise Diffusions
• An Averaging Principle for Fast Degrees of Freedom Exhibiting Long-Term Correlations
• Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media
• A mathematical framework for stochastic climate models
• Simultaneous Effects of Homogenization and Vanishing Viscosity in Fully Nonlinear Elliptic Equations
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
• Fluctuations in Markov Processes
• Multiscale Methods