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...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2021
|