Importance Sampling for Multiscale Diffusions

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 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 will be asymptotically optimal. Examples and simulation results are provided

Interaction of Conical Membrane Inclusions: Effect of Lateral Tension

Considering two rigid conical inclusions embedded in a membrane subject to lateral tension, we study the membrane-mediated interaction between these inclusions that originates from the hat-shaped membrane deformations associated with the cones. At non-vanishing lateral tensions, the interaction is found to depend on the orientation of the cones with respect to the membrane plane. The interaction of inclusions of equal orientation is repulsive at all distances between them, while the inclusions of opposite orientation repel each other at small separations, but attract each other at larger ones. Both the repulsive and attractive forces become stronger with increasing lateral tension. This is different from what has been predicted on the basis of the same static model for the case of vanishing lateral tension. Without tension, the inclusions repel each other at all distances independently of their relative orientation. We conclude that lateral tension may induce the aggregation of conical membrane inclusions.Comment: 10 pages (revtech), 5 figures (postscript