Importance sampling for pathwise sensitivity of stochastic chaotic systems

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...

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Bibliografiske detaljer
Main Authors:	Fang, W, Giles, MB
Format:	Journal article
Sprog:	English
Udgivet:	Society for Industrial and Applied Mathematics 2021

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