Rare-Event Simulation for the Stochastic Korteweg--de Vries Equation

DOI10.1137/130944473zbMath1337.60140OpenAlexW2083851853MaRDI QIDQ2938465

Gongjun Xu, Guang Lin, Jingchen Liu

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130944473

zbMATH Keywords

tail probabilitystochastic Korteweg-de Vries equationfailure probabilityrare event simulation

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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