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Multiscale Modeling and Simulation
Article . 2012 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2011
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
DBLP
Article . 2011
Data sources: DBLP
DBLP
Article . 2012
Data sources: DBLP
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Importance Sampling for Multiscale Diffusions

Authors: Paul Dupuis; Konstantinos Spiliopoulos; Hui Wang 0003;

Importance Sampling for Multiscale Diffusions

Abstract

We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these problems in the small noise limit. With multiscale processes there are additional complications, and indeed the straightforward adaptation of methods for standard small noise diffusions will not produce efficient schemes. Using the subsolution approach we construct schemes and identify conditions under which the schemes will be asymptotically optimal. Examples and simulation results are provided.

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Keywords

Optimization and Control (math.OC), Optimization and Control, 60F05, 60F10, 60G60, Probability (math.PR), FOS: Mathematics, FOS: Electrical engineering, electronic engineering, information engineering, Systems and Control (eess.SY), Probability, Systems and Control

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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
49
Top 10%
Top 10%
Top 10%
Green
bronze