Adaptive importance sampling with forward-backward stochastic differential equations

DOI10.1007/978-3-030-15096-9_7zbMath1442.82020arXiv1802.04981OpenAlexW2970554187MaRDI QIDQ2181461

Omar Kebiri, Lara Neureither, Carsten Hartmann

Publication date: 19 May 2020

Full work available at URL: https://arxiv.org/abs/1802.04981

zbMATH Keywords

importance samplingpath samplingrare eventsleast squares Monte Carloforward-backward SDE

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) KdV equations (Korteweg-de Vries equations) (35Q53) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Monte Carlo methods applied to problems in statistical mechanics (82M31)

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