Rare Event Simulation of Small Noise Diffusions

DOI10.1002/cpa.21428zbMath1268.65015MaRDI QIDQ4650170

Jonathan Weare, Eric Vanden-Eijnden

Publication date: 23 November 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21428

zbMATH Keywords

Hamilton-Jacobi equation; numerical examples; stochastic differential equations; sampling method; Monte Carlo schemes; small noise diffusion; noisy Allen-Cahn equation; rare event problems; zero variance importance sampling scheme

Mathematics Subject Classification ID

62D05: Sampling theory, sample surveys

65C05: Monte Carlo methods

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

35F21: Hamilton-Jacobi equations

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Uses Software

• Ipopt

Cites Work

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