We study a class of importance sampling methods for stochastic differential
equations (SDEs). A small-noise analysis is performed, and the results suggest
that a simple symmetrization procedure can significantly improve the
performance of our importance sampling schemes when the noise is not too large.
We demonstrate that this is indeed the case for a number of linear and
nonlinear examples. Potential applications, e.g., data assimilation, are
discussed.Comment: Added brief discussion of Hamilton-Jacobi equation. Also made various
minor corrections. To appear in Communciations in Applied Mathematics and
Computational Scienc
