Study of new rare event simulation schemes and their application to extreme scenario generation
type: Item
instance of: scholarly article
title: Study of new rare event simulation schemes and their application to extreme scenario generation
zbMATH Open document ID: 1484.60081
author: Ankush Agarwal
author: Stefano De Marco
author: Emmanuel Gobet
author: Gang Liu
published in: Mathematics and Computers in Simulation
publication date: 2021-03-01T00:00:00Z
full work available at URL: RareEventFinanceProceed v6 final.pdf
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 60K35
zbMATH DE Number: 7316128
zbMATH Keywords: extreme scenario
zbMATH Keywords: rare event
zbMATH Keywords: Markov chains
zbMATH Keywords: ergodic properties
zbMATH Keywords: interacting particle systems
MaRDI profile type: Publication
OpenAlex ID: W2225232742
cites work: Interaction particle systems for the computation of rare credit portfolio losses
cites work: Q4819702
cites work: Rare Event Simulation Using Reversible Shaking Transformations
cites work: Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
DOI: 10.1016/J.MATCOM.2017.05.004
description: scientific article; zbMATH DE number 7316128