| Issue |
ESAIM: Proc.
Volume 51, October 2015
Modélisation Aléatoire et Statistique - Journées MAS 2014
|
|
|---|---|---|
| Page(s) | 272 - 292 | |
| DOI | https://doi.org/10.1051/proc/201551015 | |
| Published online | 12 October 2015 | |
Recent advances in various fields of numerical probability*,**
1 Université Paris-Est, CERMICS
(ENPC), 6-8-10 Avenue Blaise
Pascal, Cité Descartes, F-77455
Marne-la-Vallée,
France ;
This email address is being protected from spambots. You need JavaScript enabled to view it.
2 INRIA Paris-Rocquencourt, Domaine de
Voluceau - Rocquencourt, B.P. 105 - 78153
Le Chesnay,
France ;
This email address is being protected from spambots. You need JavaScript enabled to view it.
3 IUT de Chambery, LAMA, UMR
5127,Université de Savoie, Campus Scientifique, 73376
Le Bourget-du-Lac Cedex,
France,
E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.
4 Laboratoire de Probabilités et
Modèles Aléatoires, UMR 7599, UPMC, Case 188, 4 pl. Jussieu, F-75252
Paris Cedex 5,
France,
E-mail:
This email address is being protected from spambots. You need JavaScript enabled to view it.
5 Institut de Mathématiques de
Toulouse, Université Paul Sabatier&INSA Toulouse, 135, av. de Rangueil, F-31077
Toulouse Cedex 4,
France,
E-mail:
This email address is being protected from spambots. You need JavaScript enabled to view it.
6 CERMICS-École des Ponts Paris Tech, 6
et 8 avenue Blaise Pascal, Cité Descartes - Champs sur Marne,
77455
Marne la Vallée Cedex 2,
France,
E-mail:
This email address is being protected from spambots. You need JavaScript enabled to view it.
Abstract
The goal of this paper is to present a series of recent contributions on some various problems of numerical probability. Beginning with the Richardson-Romberg Multilevel Monte-Carlo method which, among other fields of applications, is a very efficient method for the approximation of diffusion processes, we focus on some adaptive multilevel splitting algorithms for rare event simulation. Then, the third part is devoted to the simulation of McKean-Vlasov forward and decoupled forward-backward stochastic differential equations by some cubature algorithms. Finally, we tackle the problem of the weak error estimation in total variation norm for a general Markov semi-group.
C.-E. B. would like to thank his collaborators M. Gazeau, L. Goudenège, T. Lelièvre, M. Rousset and L. Tudela. He would also like to thank N. Chenavier for a careful reading of a draft version of his contribution.
Fabien Panloup would like to thank the other authors for the contributions presented in this paper.
© EDP Sciences, SMAI 2015
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.