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
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
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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