23 citations · 93 across the 12 of their papers we have counts for
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stat.CO2026
Beyond exponential tilting: sharp asymptotics and improved importance sampling for rare events
Mingxin Li, Hans Reimann, Timo Schorlepp +1
A classical approach for importance sampling (IS) of a rare event is to tilt the measure using its large deviation minimizer, thereby shifting the proposal mean towards the event s…
stat.CO2025
Scalability of the second-order reliability method for stochastic differential equations with multiplicative noise
Timo Schorlepp, Tobias Grafke
We show how to efficiently compute asymptotically sharp estimates of extreme event probabilities in stochastic differential equations (SDEs) with small multiplicative Brownian nois…
stat.CO2023★ 8 cited
Scalable Methods for Computing Sharp Extreme Event Probabilities in Infinite-Dimensional Stochastic Systems
Timo Schorlepp, Shanyin Tong, Tobias Grafke +1
We introduce and compare computational techniques for sharp extreme event probability estimates in stochastic differential equations with small additive Gaussian noise. In particul…