Moderate deviations-based importance sampling for stochastic recursive equations

DOI10.1017/apr.2017.31zbMath1426.65004OpenAlexW2768859920MaRDI QIDQ5233197

Paul Dupuis, Dane Johnson

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2017.31

zbMATH Keywords

importance samplingmoderate deviationsrare eventaccelerated Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10)

Related Items (4)

Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme ⋮ Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise ⋮ Central limit theorems and moderate deviations for stochastic reaction-diffusion lattice systems ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations

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