Importance sampling for pathwise sensitivity of stochastic chaotic systems

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 inc...

詳細記述

書誌詳細
主要な著者: Fang, W, Giles, MB
フォーマット: Journal article
言語:English
出版事項: Society for Industrial and Applied Mathematics 2021