Efficient generation of barrier crossing trajectories using approximate Brownian bridges.
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DOI: 10.1103/physreve.110.024131
Abstract: We examine continuous random walks that are conditioned to reach one region before another. These conditioned processes are used to generate stochastic trajectories for barrier crossing events, which are generally rare and difficult to sample.… read more here.
Keywords: crossing trajectories; efficient generation; generation barrier; barrier ... See more keywords