On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
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Publication:4631847
DOI10.1063/1.5081440zbMath1462.62148arXiv1811.06289OpenAlexW3104093490WikidataQ92714654 ScholiaQ92714654MaRDI QIDQ4631847
Charles-Edouard Bréhier, Tony Lelièvre
Publication date: 23 April 2019
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.06289
Point estimation (62F10) General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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