A Short Report on Importance Sampling for Rare Event Simulation in Diffusions
Numerical Analysis
2025-12-22 v1 Numerical Analysis
Probability
Abstract
In this manuscript, we investigate importance sampling methods for rare-event simulation in diffusion processes. We show, from a large-deviation perspective, that the resulting importance sampling estimator is log-efficient. This connection is established via a stochastic optimal control formulation, and the associated Hamilton--Jacobi--Bellman (HJB) equation is derived using dynamic programming. To approximate the optimal control, we adopt a spectral parameterization and employ the cross-entropy method to estimate the parameters by solving a least-squares problem. Finally, we present a numerical example to validate the effectiveness of the cross-entropy approach and the efficiency of the resulting importance sampling estimator.
Cite
@article{arxiv.2512.17766,
title = {A Short Report on Importance Sampling for Rare Event Simulation in Diffusions},
author = {Zhiwei Gao},
journal= {arXiv preprint arXiv:2512.17766},
year = {2025}
}