Rare-event Simulation and Efficient Discretization for the Supremum of Gaussian Random Fields

2013/09/27 by Xiaoou Li, Jingchen Liu, Li, Xiaoou +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1309.7365

arxiv created 2013/09/27 · arxiv updated 2013/10/01

Abstract

In this paper, we consider a classic problem concerning the high excursion probabilities of a Gaussian random field f living on a compact set T. We develop efficient computational methods for the tail probabilities P(sup_T f(t) > b) and the conditional expectations E(Γ(f) | sup_T f(t) > b) as b→ ∞. For each ε positive, we present Monte Carlo algorithms that run in constant time and compute the interesting quantities with ε relative error for arbitrarily large b. The efficiency results are applicable to a large class of Hölder continuous Gaussian random fields. Besides computations, the proposed change of measure and its analysis techniques have several theoretical and practical indications in the asymptotic analysis of extremes of Gaussian random fields.

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