4 papers · 1 filter
Hierarchical Importance Sampling for Estimating Occupation Time for SDE Solutions
Eya Ben Amar, Nadhir Ben Rached, Raul Tempone
This study considers the estimation of the complementary cumulative distribution function of the occupation time (i.e., the time spent below a threshold) for a process governed by…
Multi-index importance sampling for McKean--Vlasov stochastic differential equations
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1
This work addresses the estimation of rare-event quantities expressed as expectations of smooth observables of solutions to a broad class of McKean--Vlasov stochastic differential…
Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone +1
This work develops a particle system addressing the approximation of McKean-Vlasov stochastic differential equations (SDEs). The novelty of the approach lies in involving low discr…
Importance sampling for rare event tracking within the ensemble Kalman filtering framework
Nadhir Ben Rached, Erik von Schwerin, Gaukhar Shaimerdenova +1
In this work we employ importance sampling (IS) techniques to track a small over-threshold probability of a running maximum associated with the solution of a stochastic differentia…