Rare-event simulation for the stochastic Korteweg-de Vries equation

DOI10.1137/130944473zbMATH Open1337.60140OpenAlexW2083851853MaRDI QIDQ2938465FDOQ2938465

Authors: Gongjun Xu, Guang Lin, Jingchen Liu 

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130944473

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zbMATH Keywords

tail probabilityfailure probabilityrare event simulationstochastic Korteweg-de Vries equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (5)

• Analysis and simulation of rare events for SPDEs
• Moderate deviation for random elliptic PDE with small noise
• A Koopman framework for rare event simulation in stochastic differential equations
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• High-dimensional nonlinear multi-fidelity model with gradient-free active subspace method

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