Multilevel importance sampling for rare events associated with the McKean–Vlasov equation

Ben Rached, N., Haji-Ali, A.-L., Subbiah Pillai, S.M. et al. (1 more author) (2024) Multilevel importance sampling for rare events associated with the McKean–Vlasov equation. Statistics and Computing, 35 (1). ISSN 0960-3174

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Ben Rached, N.
  • Haji-Ali, A.-L.
  • Subbiah Pillai, S.M.
  • Tempone, R.
Copyright, Publisher and Additional Information:

© The Author(s) 2024. This is an open access article under the terms of the Creative Commons Attribution License (CC-BY 4.0), which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited.

Keywords: McKean–Vlasov stochastic differential equation, Importance sampling, Multilevel Monte Carlo, Decoupling approach, Double loop Monte Carlo
Dates:
  • Published (online): 15 November 2024
  • Accepted: 23 September 2024
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 19 Nov 2024 09:32
Last Modified: 19 Nov 2024 09:32
Status: Published online
Publisher: Springer
Identification Number: 10.1007/s11222-024-10508-3
Open Archives Initiative ID (OAI ID):

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