Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
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Abstract: We consider systems of slow--fast diffusions with small noise in the slow component. We construct provably logarithmic asymptotically optimal importance schemes for the estimation of rare events based on the moderate deviations principle. Using the subsolution approach we construct schemes and identify conditions under which the schemes will be asymptotically optimal. Moderate deviations--based importance sampling offers a viable alternative to large deviations importance sampling when the events are not too rare. In particular, in many cases of interest one can indeed construct the required change of measure in closed form, a task which is more complicated using the large deviations--based importance sampling, especially when it comes to multiscale dynamically evolving processes. The presence of multiple scales and the fact that we do not make any periodicity assumptions for the coefficients driving the processes, complicates the design and the analysis of efficient importance sampling schemes. Simulation studies illustrate the theory.
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Cited in
(17)- Large deviations and importance sampling for systems of slow-fast motion
- Large and moderate deviations for stochastic Volterra systems
- Importance sampling for multiscale diffusions
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Rare event simulation for multiscale diffusions in random environments
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- Importance sampling for McKean-Vlasov SDEs
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