Escaping from an attractor: Importance sampling and rest points. I.

DOI10.1214/14-AAP1064zbMath1334.65007arXiv1303.0450WikidataQ60143607 ScholiaQ60143607MaRDI QIDQ748325

Paul Dupuis, Xiang Zhou, Konstantinos V. Spiliopoulos

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.0450

zbMATH Keywords

stochastic differential equationattractorsequilibrium pointsimportance samplingMonte Carlo methodsdiffusion processlarge deviationsnumerical experimentGauss-Markov process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Controlled Markov processes and viscosity solutions
• Importance Sampling for Multiscale Diffusions
• Importance Sampling for Weighted-Serve-the-Longest-Queue
• Importance Sampling, Large Deviations, and Differential Games
• Analysis of an importance sampling estimator for tandem queues
• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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