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

DOI10.1016/J.MATCOM.2017.05.004MaRDI QIDQ1996937zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• 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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