Journal article
Importance sampling for pathwise sensitivity of stochastic chaotic systems
- Abstract:
-
This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by importance sampling. The variance of the new estimator increases only linearly in time T, compared with the exponen tial increase of the standard pathwise estimator. We compare our estimator with the Malliavin estimator and extend both of them to the Multilevel Monte Carlo method, which further improves the computationa...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM/ASA Journal on Uncertainty Quantification Journal website
- Volume:
- 9
- Issue:
- 3
- Pages:
- 1217–1241
- Publication date:
- 2021-09-16
- Acceptance date:
- 2021-06-14
- DOI:
- EISSN:
-
2166-2525
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1193884
- Local pid:
- pubs:1193884
- Deposit date:
- 2021-09-04
Terms of use
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2021
- Rights statement:
- © 2021, Society for Industrial and Applied Mathematics
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Society for Industrial and Applied Mathematics at: https://doi.org/10.1137/20M1352454
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