| Stochastic simulations are made more efficient by variance reduction techniques. Our construction of variance reduced simulations is based on importance sampling, and it requires approximate information about the simulated process. Results for Hookean dumbbells with hydrodynamic interaction are presented, where variances are reduced by up to two orders of magnitude.
for LaTeX users @article{MMelchior1995-103,
author = {M. Melchior and H. C. \"Ottinger},
title = {Variance Reduced Simulations of Stochastic Differential Equations},
journal = {J. Chem. Phys.},
volume = {103},
pages = {9506-9509},
year = {1995}
}
\bibitem{MMelchior1995-103} M. Melchior, H.C. \"Ottinger,
Variance Reduced Simulations of Stochastic Differential Equations,
J. Chem. Phys. {\bf 103} (1995) 9506-9509.MMelchior1995-103
M. Melchior, H.C. \"Ottinger
Variance Reduced Simulations of Stochastic Differential Equations
J. Chem. Phys.,103,1995,9506-9509 |
mk@mat.ethz.ch
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