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math.PR2020★ 1 cited
The Augmented Jump Chain -- a sparse representation of time-dependent Markov jump processes
Alexander Sikorski, Marcus Weber, Christof Schütte
Modern methods of simulating molecular systems are based on the mathematical theory of Markov operators with a focus on autonomous equilibrated systems. However, non-autonomous phy…
math.PR2015★ 24 cited
Importance sampling in path space for diffusion processes with slow-fast variables
Carsten Hartmann, Christof Schütte, Marcus Weber +1
Importance sampling is a widely used technique to reduce the variance of a Monte Carlo estimator by an appropriate change of measure. In this work, we study importance sam- pling i…