Large deviations principle for the Adaptive Multilevel Splitting Algorithm in an idealized setting

zbMath1335.65004arXiv1502.06780MaRDI QIDQ3465405

Charles-Edouard Bréhier

Publication date: 21 January 2016

Full work available at URL: https://arxiv.org/abs/1502.06780

zbMATH Keywords

rare eventsMonte Carlo simulationlarge deviationsmultilevel splitting

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Monte Carlo methods (65C05) Large deviations (60F10) Stochastic particle methods (65C35)

Related Items (4)

Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain ⋮ On the Asymptotic Normality of Adaptive Multilevel Splitting ⋮ On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting ⋮ Computing return times or return periods with rare event algorithms

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