Analysis and simulation of rare events for SPDE

In this work, we consider the numerical estimation of the probability for a stochastic process to hit a set B before reaching another set A. This event is assumed to be rare. We consider reactive trajectories of the stochastic Allen-Cahn partial differential evolution equation (with double well potential) in dimension 1. Reactive trajectories are defined as the probability distribution of the trajectories of a stochastic process, conditioned by the event of hitting B before A. We investigate the use of the so-called Adaptive Multilevel Splitting algorithm in order to estimate the rare event and simulate reactive trajectories. This algorithm uses a \emph{reaction coordinate} (a real valued function of state space defining level sets), and is based on (i) the selection, among several replicas of the system having hit A before B, of those with maximal reaction coordinate; (ii) iteration of the latter step. We choose for the reaction coordinate the average magnetization, and for B the minimum of the well opposite to the initial condition. We discuss the context, prove that the algorithm has a sense in the usual functional setting, and numerically test the method (estimation of rare event, and transition state sampling).

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Additional Info

Field Value
Source https://hal.science/hal-00921680
Author Bréhier, Charles-Edouard, Gazeau, Maxime, Goudenège, Ludovic, Rousset, Mathias
Maintainer CCSD
Last Updated May 7, 2026, 17:23 (UTC)
Created May 7, 2026, 17:23 (UTC)
Identifier hal-00921680
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) ; École nationale des ponts et chaussées (ENPC)
creator Bréhier, Charles-Edouard
date 2014-01-07T00:00:00
harvest_object_id 76101857-5b18-48d7-984c-faf158ad503a
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-03-24T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1401.1380
set_spec type:UNDEFINED