Computational & Applied Math Seminar

Abstract

It is very challenging to efficiently sample the stochastic Itô diffusion subject to a potential energy with multiple wells. It has been shown that the importance sampling measure is connected to the gradient of the value function associated with a certain stochastic optimal control problem in the path space. In the vanishing noise limit, the problem is related to the minimal action path in the Freidlin-Wentzell large deviation theory.