Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations

DOI10.1137/18M1192962zbMath1440.60024arXiv1805.10229MaRDI QIDQ5222124

Matthew R. Morse, Konstantinos V. Spiliopoulos

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

zbMATH Keywords

importance samplingrare eventsmoderate deviationsmultiscale processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Large deviations (60F10) Stochastic processes (60G99)

Related Items (4)

Large and moderate deviations for stochastic Volterra systems ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion

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