Rare Event Simulation Using Reversible Shaking Transformations
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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)
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
Cites work
- scientific article; zbMATH DE number 4207654 (Why is no real title available?)
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- scientific article; zbMATH DE number 1947316 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- scientific article; zbMATH DE number 227027 (Why is no real title available?)
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- Algebraic properties of beta and gamma distributions, and applications
- Analysis of a splitting estimator for rare event probabilities in Jackson networks
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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- Genetic genealogical models in rare event analysis
- Introduction to rare event simulation.
- Markov Chains and Stochastic Stability
- Nonasymptotic bounds on the estimation error of MCMC algorithms
- Nonlinear time series. Theory, methods and applications with R examples
- On Lewis' simulation method for point processes
- On Lyapunov inequalities and subsolutions for efficient importance sampling
- Random graphs.
- Rare Event Simulation using Monte Carlo Methods
- Ruin probabilities
- Sampling per mode for rare event simulation in switching diffusions
- Sequential Monte Carlo for rare event estimation
- Simulation and the Monte Carlo Method
- Spectra of some self-exciting and mutually exciting point processes
- Splitting for rare event simulation: A large deviation approach to design and analysis
- Stochastic Equations in Infinite Dimensions
- The importance sampling technique for understanding rare events in Erdős-Rényi random graphs
- The large deviation principle for the Erdős-Rényi random graph
- Weak convergence and optimal scaling of random walk Metropolis algorithms
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
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