Journal of Chemical Physics, Vol.103, No.21, 9506-9509, 1995
Variance Reduced Simulations of Stochastic Differential-Equations
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.