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Multiscale Modeling & Simulation / Volume 10 / Issue 1

Multiscale Model. Simul. 10, pp. 1-27 (27 pages)

Importance Sampling for Multiscale Diffusions

Paul Dupuis, Konstantinos Spiliopoulos, and Hui Wang

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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 importance sampling 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.

© 2012 Society for Industrial and Applied Mathematics

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KEYWORDS

AMS Subject Headings

60F05, 60F10, 60G60

PUBLICATION DATA

ISSN

1540-3459 (print)  
1540-3467 (online)

Publisher

$abstract.society.value is a Member of CrossRef Society for Industrial and Applied Mathematics

ARTICLE DATA

History
Received July 27, 2011
Accepted November 18, 2011
Published online January 24, 2012
Digital Object Identifier
http://dx.doi.org/10.1137/110842545

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