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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Fang, W, Giles, MB
Μορφή:	Journal article
Γλώσσα:	English
Έκδοση:	Society for Industrial and Applied Mathematics 2021

Παρόμοια τεκμήρια

Pathwise stochastic calculus with local times
ανά: Davis, M, κ.ά.
Έκδοση: (2018)

Pathwise stochastic control with applications to robust filtering
ανά: Allan, AL, κ.ά.
Έκδοση: (2020)

A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
ανά: Parpas, Panos, κ.ά.
Έκδοση: (2015)

Pathwise Convergent Approximation for the Fractional SDEs
ανά: Kęstutis Kubilius, κ.ά.
Έκδοση: (2022-02-01)

Duality for pathwise superhedging in continuous time
ανά: Bartl, D, κ.ά.
Έκδοση: (2019)

Existence of Lévy's area and pathwise integration
ανά: Imkeller, P, κ.ά.
Έκδοση: (2015)

On pathwise quadratic variation for càdlàg functions
ανά: Chiu, H, κ.ά.
Έκδοση: (2018)

Nonexplosion and Pathwise Uniqueness of Stochastic Differential Equation Driven by Continuous Semimartingale with Non-Lipschitz Coefficients
ανά: Jinxia Wang
Έκδοση: (2015-01-01)

A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
ανά: Caruana, M, κ.ά.
Έκδοση: (2010)

Pathwise superreplication via Vovk’s outer measure
ανά: Beiglböck, M, κ.ά.
Έκδοση: (2017)

Pathwise integration with respect to paths of finite quadratic variation
ανά: Ananova, A, κ.ά.
Έκδοση: (2016)

Pathwise and probabilistic analysis in the context of Schramm-Loewner Evolutions (SLE)
ανά: Margarint, V
Έκδοση: (2020)

Local times for typical price paths and pathwise Tanaka formulas
ανά: Perkowski, N, κ.ά.
Έκδοση: (2016)

Recovering the pathwise Itô solution from averaged Stratonovich solutions
ανά: Lyons, T, κ.ά.
Έκδοση: (2016)

Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
ανά: Cox, A, κ.ά.
Έκδοση: (2007)

Pathwise grid valuation of fixed-income portfolios with applications to risk management
ανά: Shiva Zamani, κ.ά.
Έκδοση: (2022-07-01)

Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
ανά: Cont, R, κ.ά.
Έκδοση: (2019)

Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
ανά: Barbara Pacchiarotti
Έκδοση: (2020-02-01)

Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness
ανά: Oussama El Barrimi, κ.ά.
Έκδοση: (2016-12-01)

Stochastic Computing Implementation of Chaotic Systems
ανά: Oscar Camps, κ.ά.
Έκδοση: (2021-02-01)

Nonlinear dynamics of chaotic and stochastic systems /
ανά: Anishchenko, V. S., (Vadim Semenovich), 1943-
Έκδοση: (2007)

Importance sampling for stochastic quantum simulations
ανά: Oriel Kiss, κ.ά.
Έκδοση: (2023-04-01)

Exploring nonlinear chaotic systems with applications in stochastic processes
ανά: H. G. Abdelwahed, κ.ά.
Έκδοση: (2024-12-01)

Numerical treatments for some stochastic–deterministic chaotic systems
ανά: N.H. Sweilam, κ.ά.
Έκδοση: (2022-07-01)

Lyapunov-Based Controller for a Class of Stochastic Chaotic Systems
ανά: Hossein Shokouhi-Nejad, κ.ά.
Έκδοση: (2014-01-01)

Sensitivity analysis of the climate of a chaotic system
ανά: Lea, D, κ.ά.
Έκδοση: (2000)

An efficient algorithm for sensitivity analysis of chaotic systems
ανά: Chandramoorthy, Nisha
Έκδοση: (2022)

Passivity-Sliding Mode Control of Uncertain Chaotic Systems with Stochastic Disturbances
ανά: Zhumu Fu, κ.ά.
Έκδοση: (2014-01-01)

Generalized Synchronization of Stochastic Discrete Chaotic System with Poisson Distribution Coefficient
ανά: Shao-juan Ma, κ.ά.
Έκδοση: (2013-01-01)

Synchronization of Fractional Stochastic Chaotic Systems via Mittag-Leffler Function
ανά: T. Sathiyaraj, κ.ά.
Έκδοση: (2022-03-01)

Multigrid-in-time for sensitivity analysis of chaotic dynamical systems
ανά: Blonigan, Patrick Joseph, κ.ά.
Έκδοση: (2017)

Forward and adjoint sensitivity computation of chaotic dynamical systems
ανά: Wang, Qiqi
Έκδοση: (2015)

New methods for sensitivity analysis of chaotic dynamical systems
ανά: Blonigan, Patrick Joseph
Έκδοση: (2013)

Abundant Closed-Form Soliton Solutions to the Fractional Stochastic Kraenkel–Manna–Merle System with Bifurcation, Chaotic, Sensitivity, and Modulation Instability Analysis
ανά: J. R. M. Borhan, κ.ά.
Έκδοση: (2024-05-01)

Anti-Synchronization and Synchronization of Coupled Chaotic System With Ring Connection and Stochastic Perturbations
ανά: Chaolong Zhang, κ.ά.
Έκδοση: (2019-01-01)

The Importance of Simulation Accuracy in Chaotic Circuits
ανά: P. Kvarda
Έκδοση: (2000-06-01)

A noisy chaotic neural network for solving combinatorial optimization problems : stochastic chaotic simulated annealing
ανά: Wang, Lipo., κ.ά.
Έκδοση: (2012)

Transition between chaotic and stochastic universality classes of kinetic roughening
ανά: Enrique Rodríguez-Fernández, κ.ά.
Έκδοση: (2021-03-01)

Finite-Time Synchronization of Chaotic Complex Networks with Stochastic Disturbance
ανά: Liangliang Li, κ.ά.
Έκδοση: (2014-12-01)

Finite-time synchronization for chaotic neural networks with stochastic disturbances
ανά: Xuejun Shi, κ.ά.
Έκδοση: (2020-11-01)