Data-based importance sampling estimates for extreme events

DOI10.1016/j.jcp.2020.109429zbMath1436.65007OpenAlexW3015078960MaRDI QIDQ776693

Mircea D. Grigoriu

Publication date: 13 July 2020

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2020.109429

zbMATH Keywords

stochastic equationsMonte Carlo methodRadon-Nikodym theoremextreme eventsimportance sampling measuresnominal measures

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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