Rare event simulation- a Point Process interpretation with application in probability and quantile estimation

Clément Walter (CEA, DAM, DIF and Université Paris Diderot, Paris, FR)
March 13, 2015 — 10:30 — "None"

Abstract

Clément Walter, 25, graduated from Mines ParisTech in 2013. Beforehand he attended preparatory classes in Lycée Sainte-Geneviève (branch Maths and Physics). For his master degree he specialised in Geostatistics and started working with CEA as an intern on emulation of complex computer codes (especially kriging) for rare event simulation and estimation. He has then pursued his work in a PhD under the direction of Pr. Josselin Garnier, focusing on multilevel splitting methods.