Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields

Jingchen Liu, Gongjun Xu

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Abstract

In this article, we consider a Gaussian random field f (t) living on a compact set T ⊂ Rd and the computation of the tail probabilities P(∫ T e f (t)dt > eb) as b→∞. We design asymptotically efficient importance sampling estimators for a general class of Hölder continuous Gaussian random fields. In addition to the variance control, we also analyze the bias (relative to the interesting tail probabilities) caused by the discretization.

Original languageEnglish (US)
Article number2567892
JournalACM Transactions on Modeling and Computer Simulation
Volume24
Issue number2
DOIs
StatePublished - Feb 2014

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Keywords

  • Exponential integral
  • Gaussian random fields
  • Importance sampling

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