Hartmann, Carsten and Jöster, Annika
(2024)
*Risk-neutral limit of adaptive importance sampling of random stopping times.*
Submitted to 26th International Symposium on Mathematical Theory of Networks and Systems
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(Submitted)

Full text not available from this repository.

Official URL: https://doi.org/10.48550/arXiv.2402.08476

## Abstract

We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization techniques can lead to pathologies here, including proposal measures that are not absolutely continuous to the reference measure or importance sampling estimators that formally have zero variance, but that produce infinitely long trajectories. We illustrate these issues with simple examples and discuss a possible solution that is based on a risk-sensitive optimal control framework of importance sampling.

Item Type: | Article |
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Subjects: | Mathematical and Computer Sciences Mathematical and Computer Sciences > Mathematics Mathematical and Computer Sciences > Mathematics > Applied Mathematics |

Divisions: | Department of Mathematics and Computer Science > Institute of Mathematics |

ID Code: | 3088 |

Deposited By: | Lukas-Maximilian Jaeger |

Deposited On: | 16 Feb 2024 09:32 |

Last Modified: | 16 Feb 2024 09:32 |

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