Importance sampling for multiscale diffusions

Multiscale Modeling and Simulation

Volumn 10, Issue 1, 2012, Pages 1-27

  Dupuis, Paul ^a   Spiliopoulos, Konstantinos ^a   Wang, Hui ^a  

^a BROWN UNIVERSITY   (United States)

Author keywords

Homogenization; Importance sampling; Monte Carlo; Multiscale; Rough energy landscape

Indexed keywords

ASYMPTOTICALLY OPTIMAL; ENERGY LANDSCAPE; HOMOGENIZATION; IMPORTANCE SAMPLING METHOD; MONTE CARLO; MULTISCALE DIFFUSION; MULTISCALE PROCESS; MULTISCALES; NOISE DIFFUSION; NOISE LIMIT; STOCHASTIC DIFFERENTIAL EQUATIONS; SUBSOLUTION;

MONTE CARLO METHODS;

IMPORTANCE SAMPLING;

EID: 84861503544     PISSN: 15403459     EISSN: 15403467     Source Type: Journal    
DOI: 10.1137/110842545     Document Type: Article

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