@article {IOPORT.06074460,
    author       = {Dupuis, Paul and Spiliopoulos, Konstantinos and Wang, Hui},
    title        = {Importance sampling for multiscale diffusions.},
    year         = {2012},
    journal      = {Multiscale Modeling \& Simulation},
    volume       = {10},
    number       = {1},
    issn         = {1540-3459},
    pages        = {1-27},
    publisher    = {Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA},
    doi          = {10.1137/110842545},
    abstract     = {Summary: We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these problems in the small noise limit. With multiscale processes, there are additional complications, and, indeed, the straightforward adaptation of importance sampling methods for standard small noise diffusions will not produce efficient schemes. Using the subsolution approach, we construct schemes and identify conditions under which the schemes are asymptotically optimal. Examples and simulation results are provided.},
    identifier   = {06074460},
}