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September 2015 Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
Konstantinos Spiliopoulos
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J. Appl. Probab. 52(3): 797-810 (September 2015). DOI: 10.1239/jap/1445543847

Abstract

In this paper we develop a prelimit analysis of performance measures for importance sampling schemes related to small noise diffusion processes. In importance sampling the performance of any change of measure is characterized by its second moment. For a given change of measure, we characterize the second moment of the corresponding estimator as the solution to a partial differential equation, which we analyze via a full asymptotic expansion with respect to the size of the noise and obtain a precise statement on its accuracy. The main correction term to the decay rate of the second moment solves a transport equation that can be solved explicitly. The asymptotic expansion that we obtain identifies the source of possible poor performance of nevertheless asymptotically optimal importance sampling schemes and allows for a more accurate comparison among competing importance sampling schemes.

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Konstantinos Spiliopoulos. "Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions." J. Appl. Probab. 52 (3) 797 - 810, September 2015. https://doi.org/10.1239/jap/1445543847

Information

Published: September 2015
First available in Project Euclid: 22 October 2015

zbMATH: 1334.60166
MathSciNet: MR3414992
Digital Object Identifier: 10.1239/jap/1445543847

Subjects:
Primary: 60F05
Secondary: 60F10 , 60G60

Keywords: asymptotic expansion , importance sampling , large deviation , Monte Carlo

Rights: Copyright © 2015 Applied Probability Trust

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Vol.52 • No. 3 • September 2015
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