Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
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Publication:5222124
DOI10.1137/18M1192962zbMath1440.60024arXiv1805.10229MaRDI QIDQ5222124
Konstantinos V. Spiliopoulos, Matthew R. Morse
Publication date: 31 March 2020
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.10229
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
60F10: Large deviations
60G99: Stochastic processes