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Rare Event Simulation of Small Noise Diffusions
Eric Vanden-Eijnden
, Jonathan Weare
Mathematics
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Mathematics
Rare Event Simulation
Sampling Methods
Decay Rate
Estimator
Partial differential equation
Allen-Cahn Equation
Rare Events
Importance Sampling
Stochastic Partial Differential Equations
Relative Error
Exponential Growth
Hamilton-Jacobi Equation
Variational Formulation
Second order differential equation
Control Problem
High-dimensional
Standards
Zero
Engineering & Materials Science
Partial differential equations
Sampling
Importance sampling