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Jingchen Liu : Rare-event Analysis and Monte Carlo Methods for Gaussian Processes (Apr 11, 2013 4:25 PM)

Gaussian processes are employed to model spatially varying errors in various stochastic systems. In this talk, we consider the analysis of the extreme behaviors and the rare-event simulation problems for such systems. In particular, the topic covers various nonlinear functionals of Gaussian processes including the supremum norm and integral of convex functions. We present the asymptotic results and the efficient simulation algorithms for the associated rare-event probabilities.

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