Some Numerical Methods for Rare Events Simulation and Analysis

DOI10.1007/978-3-642-32157-3_4MaRDI QIDQ4567931zbMATH OpenOpenAlexFDO

Authors Gilles Wainrib

Publication date 20 June 2018

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-32157-3_4

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) General biology and biomathematics (92B05)

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• Simulation of diffusions by means of importance sampling paradigm
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• The geometric minimum action method: A least action principle on the space of curves
• Variance Reduction for Simulated Diffusions

Cited in

(2)

• Analysis and simulation of rare events for SPDEs
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