Rare Event Simulation Using Reversible Shaking Transformations
DOI10.1137/14098418XzbMATH Open1327.65006OpenAlexW1866625467WikidataQ121366279 ScholiaQ121366279MaRDI QIDQ3447461FDOQ3447461
Authors: Emmanuel Gobet, Gang Liu 
Publication date: 27 October 2015
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/14098418x
Recommendations
- Simulating rare events in dynamical processes
- Rare event simulation for stochastic dynamics in continuous time
- Sinusoidal shaking in event-driven simulations
- RARE EVENT SIMULATION
- Rare event simulation for large-scale structures with local nonlinearities
- Rare event simulation for steady-state probabilities via recurrency cycles
- Rare event simulation of small noise diffusions
- Efficient rare event simulation for failure problems in random media
- Rare events simulation for heavy-tailed distributions
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Stochastic particle methods (65C35)
Cites Work
- Title not available (Why is that?)
- Spectra of some self-exciting and mutually exciting point processes
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Markov Chains and Stochastic Stability
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Title not available (Why is that?)
- Title not available (Why is that?)
- On Lewis' simulation method for point processes
- Nonlinear time series. Theory, methods and applications with R examples
- Ruin probabilities
- Title not available (Why is that?)
- Title not available (Why is that?)
- Simulation and the Monte Carlo Method
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- Random graphs.
- Stochastic Equations in Infinite Dimensions
- Introduction to rare event simulation.
- Title not available (Why is that?)
- Sequential Monte Carlo for rare event estimation
- Nonasymptotic bounds on the estimation error of MCMC algorithms
- Rare Event Simulation using Monte Carlo Methods
- The large deviation principle for the Erdős-Rényi random graph
- Splitting for rare event simulation: A large deviation approach to design and analysis
- Genealogical particle analysis of rare events
- Genetic genealogical models in rare event analysis
- Sampling per mode for rare event simulation in switching diffusions
- On Lyapunov inequalities and subsolutions for efficient importance sampling
- Algebraic properties of beta and gamma distributions, and applications
- The importance sampling technique for understanding rare events in Erdős-Rényi random graphs
- Analysis of a splitting estimator for rare event probabilities in Jackson networks
Cited In (7)
- Study of new rare event simulation schemes and their application to extreme scenario generation
- Adaptive multilevel splitting: historical perspective and recent results
- Transform MCMC schemes for sampling intractable factor copula models
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Adaptive multilevel subset simulation with selective refinement
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- MCMC design-based non-parametric regression for rare event. application to nested risk computations
Uses Software
This page was built for publication: Rare Event Simulation Using Reversible Shaking Transformations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3447461)
