60 citations · 145 across the 15 of their papers we have counts for
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math.PR2013★ 1 cited
Rare-event Simulation and Efficient Discretization for the Supremum of Gaussian Random Fields
Xiaoou Li, Jingchen Liu
In this paper, we consider a classic problem concerning the high excursion probabilities of a Gaussian random field living on a compact set . We develop efficient computatio…
math.PR2013
Extreme Analysis of a Non-convex and Nonlinear Functional of Gaussian Processes -- On the Tail Asymptotics of Random Ordinary Differential Equations
Jingchen Liu, Xiang Zhou
In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to…