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math.PR2012
Scaling Limits and Exit Law for Multiscale Diffusions
Sergio A. Almada Monter, Konatantinos Spiliopoulos
In this paper we study the fluctuations from the limiting behavior of small noise random perturbations of diffusions with multiple scales. The result is then applied to the exit pr…
math.PR2012★ 42 cited
Large Deviations and Importance Sampling for Systems of Slow-Fast Motion
Konstantinos Spiliopoulos
In this paper we develop the large deviations principle and a rigorous mathematical framework for asymptotically efficient importance sampling schemes for general, fully dependent…