Study of new rare event simulation schemes and their application to extreme scenario generation
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Publication:1996937
DOI10.1016/j.matcom.2017.05.004zbMath1484.60081MaRDI QIDQ1996937
Emmanuel Gobet, Gang Liu, Stefano De Marco, Ankush Agarwal
Publication date: 1 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://hal-polytechnique.archives-ouvertes.fr/hal-01249625/file/RareEventFinanceProceed_v6_final.pdf
60J22: Computational methods in Markov chains
60K35: Interacting random processes; statistical mechanics type models; percolation theory
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