Rare event simulation via importance sampling for linear SPDE's

DOI10.1007/s40072-017-0100-yzbMath1391.60161arXiv1609.04365OpenAlexW2964142608MaRDI QIDQ1706675

Michael Salins, Konstantinos V. Spiliopoulos

Publication date: 28 March 2018

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04365

zbMATH Keywords

Monte Carloimportance samplingrare eventsstochastic partial differential equationssmall noise

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A Koopman framework for rare event simulation in stochastic differential equations ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing

Cites Work

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• Large deviations for infinite dimensional stochastic dynamical systems
• Exit probabilities and optimal stochastic control
• A variational representation for certain functionals of Brownian motion
• Random Perturbations of Dynamical Systems
• Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
• Stochastic Equations in Infinite Dimensions
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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