60 citations · 145 across the 15 of their papers we have counts for
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math.NA2014
Efficient rare event simulation for failure problems in random media
Jingchen Liu, Jianfeng Lu, Xiang Zhou
In this paper we study rare events associated to solutions of elliptic partial differential equations with spatially varying random coefficients. The random coefficients follow the…
math.ST2014★ 3 cited
Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
Jose Blanchet, Jingchen Liu
We study a new technique for the asymptotic analysis of heavy-tailed systems conditioned on large deviations events. We illustrate our approach in the context of ruin events of mul…