Study of new rare event simulation schemes and their application to extreme scenario generation

DOI10.1016/J.MATCOM.2017.05.004zbMATH Open1484.60081OpenAlexW2225232742MaRDI QIDQ1996937FDOQ1996937

Authors: Ankush Agarwal, Stefano De Marco, Emmanuel Gobet, Gang Liu 

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

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zbMATH Keywords

Markov chainsergodic propertiesinteracting particle systemsrare eventextreme scenario

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Cites Work

• Title not available (Why is that?)
• Interaction particle systems for the computation of rare credit portfolio losses
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Rare Event Simulation Using Reversible Shaking Transformations

Cited In (1)

• On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting

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