Some Numerical Methods for Rare Events Simulation and Analysis

DOI10.1007/978-3-642-32157-3_4OpenAlexW32582164MaRDI QIDQ4567931FDOQ4567931

Authors: Gilles Wainrib 

Publication date: 20 June 2018

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-32157-3_4

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) General biology and biomathematics (92B05)

Cites Work

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• Large deviations
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• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
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• The geometric minimum action method: A least action principle on the space of curves
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• Variance Reduction for Simulated Diffusions
• A review of the integrate-and-fire neuron model: I. Homogeneous synaptic input
• Rare Event Simulation using Monte Carlo Methods
• Splitting for rare event simulation: A large deviation approach to design and analysis
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• Optimal importance sampling with explicit formulas in continuous time
• Simulation of diffusions by means of importance sampling paradigm
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Cited In (2)

• Analysis and simulation of rare events for SPDEs
• Relative entropy minimizing noisy non-linear neural network to approximate stochastic processes

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