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[02188] Rare events of weak noise-driven dynamical systems

  • Session Time & Room : 3D (Aug.23, 15:30-17:10) @E501
  • Type : Contributed Talk
  • Abstract : Real-world dynamical systems can be susceptible to events with a low probability of occurrence but severe repercussions. The aim is to asymptotically quantify the likelihood of these events in dynamical systems represented by stochastic differential equations (SDEs). First, we will go through the mathematical framework for investigating such situations. Then, we will demonstrate a numerical obstacle when using a rare events method due to diverging the tilting factor, aka Radon-Nikodym derivative. A solution will be proposed and shown using multiple scenarios.
  • Classification : 60F10, 65C20, 49M05, 49M29, 65C05
  • Author(s) :
    • Mnerh Alqahtani (University of Hafr Al Batin)
    • Tobias Grafke (University of Warwick)