Escaping from an attractor : Importance sampling and rest points i

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

19 Scopus Citations
View graph of relations

Author(s)

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)2909-2958
Journal / PublicationAnnals of Applied Probability
Volume25
Issue number5
Online published30 Jul 2015
Publication statusPublished - Oct 2015

Abstract

We discuss importance sampling schemes for the estimation of finite time exit probabilities of small noise diffusions that involve escape from an equilibrium. A factor that complicates the analysis is that rest points are included in the domain of interest. We build importance sampling schemes with provably good performance both pre-asymptotically, that is, for fixed size of the noise, and asymptotically, that is, as the size of the noise goes to zero, and that do not degrade as the time horizon gets large. Simulation studies demonstrate the theoretical results.

Research Area(s)

  • Attractors, Equilibrium points, Importance sampling, Large deviations, Monte Carlo methods

Citation Format(s)

Escaping from an attractor : Importance sampling and rest points i. / Dupuis, Paul; Spiliopoulos, Konstantinos; Zhou, Xiang.

In: Annals of Applied Probability, Vol. 25, No. 5, 10.2015, p. 2909-2958.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review