On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting.

Abstract

We investigate the application of the adaptive multilevel splitting algorithm for the estimation of tail probabilities of solutions of stochastic differential equations evaluated at a given time and of associated temporal averages. We introduce a new, very general, and effective family of score functions that is designed for these problems. We illustrate its behavior in a series of numerical experiments. In particular, we demonstrate how it can be used to estimate large deviations rate functionals for the longtime limit of temporal averages.