Discovery Early Career Researcher Award - Grant ID: DE140100993

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DE140100993

Funding Status
Closed

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Funded Activity Summary

Mathematics of importance: The optimal importance sampling algorithm for estimating the probability of a black swan event. Rare event simulation and modelling is critical to our understanding of high-cost hard-to-predict events such as nuclear accidents, natural disasters, and financial crises. Quantitative analysis of such high-impact events demands the accurate estimation of the probability of occurrence of such rare events. In realistic models this probability is very difficult to estimate, because exact simple analytical formulas are not available and the existing estimation methods fail spectacularly. There is an urgent need for new efficient methodology. This project develops a new Monte Carlo method that will be able to estimate reliably and accurately rare-event probabilities.

Funded Activity Details

Start Date: 30-06-2014

End Date: 29-06-2017

Funding Scheme: Discovery Early Career Researcher Award

Funding Amount: $293,520.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Applied Statistics | Probability Theory | Stochastic Analysis and Modelling | Statistics |

ANZSRC Socio-Economic Objective (SEO)

Expanding Knowledge in the Mathematical Sciences

Other Keywords

Applied Statistics | Expanding Knowledge in the Mathematical Sciences | Probability Theory | Statistics | Stochastic Analysis and Modelling

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