8 citations · 9 across the 8 of their papers we have counts for
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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…
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…
Multilevel Importance Sampling for Rare Events Associated With the McKean--Vlasov Equation
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1
This work combines multilevel Monte Carlo (MLMC) with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of th…
Double-Loop Importance Sampling for McKean--Vlasov Stochastic Differential Equation
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Shyam Mohan Subbiah Pillai +1
This paper investigates Monte Carlo (MC) methods to estimate probabilities of rare events associated with solutions to the -dimensional McKean-Vlasov stochastic differential equ…