Importance sampling techniques for stochastic partial differential equations
Sprache des Vortragstitels:
Englisch
Original Tagungtitel:
Workshop on Numerical Analysis of Stochastic PDEs (NASPDE) 2016
Sprache des Tagungstitel:
Englisch
Original Kurzfassung:
We consider Monte Carlo-based methods for estimating E[f(X(T))], where X(T) denotes the mild solution of a stochastic partial differential equation (SPDE) at a given time T. We present different approaches (finite and infinite dimensional) how importance sampling can be applied to SPDEs in order to reduce the variance of the quantity of interest.
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