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Article Dans Une Revue Chaos: An Interdisciplinary Journal of Nonlinear Science Année : 2019

On a new class of score functions to estimate tail probabilities of some stochastic processes with Adaptive Multilevel Splitting

Résumé

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 functions which is designed for these problems. We illustrate its behavior on a series of numerical experiments. In particular, we demonstrate how it can be used to estimate large deviation rate functionals for the longtime limit of temporal averages.
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Dates et versions

hal-01923385 , version 1 (15-11-2018)

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Charles-Edouard Bréhier, Tony Lelièvre. On a new class of score functions to estimate tail probabilities of some stochastic processes with Adaptive Multilevel Splitting. Chaos: An Interdisciplinary Journal of Nonlinear Science, 2019, 29, pp.033126. ⟨10.1063/1.5081440⟩. ⟨hal-01923385⟩
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