On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
We investigate the application of the adaptive multilevel splitting algorithm for the estimation of tail probabilities of solutions of stochastic differential equations evaluated at a given time and of associated temporal averages. We introduce a new, very general, and effective family of score func...
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| Published in: | Chaos (Woodbury, N.Y.) Vol. 29; no. 3; p. 033126 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | English |
| Published: |
United States
01.03.2019
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| ISSN: | 1089-7682, 1089-7682 |
| Online Access: | Get more information |
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