ESCAPING FROM AN ATTRACTOR: IMPORTANCE SAMPLING AND REST POINTS I
成果类型：
Article
署名作者：
Dupuis, Paul; Spiliopoulos, Konstantinos; Zhou, Xiang
署名单位：
Brown University; Boston University; City University of Hong Kong
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/14-AAP1064
发表日期：
2015
页码：
2909-2958
关键词：
摘要：
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.
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