Verification of Cascading Events in Interconnected Stochastic Systems: Using Adaptive Parametric Importance Sampling Methods

Verification of rare cascading events in interconnected Markov processes are of high interest in energy grids, computer networks, and banking systems. Small defaults may lead to a global cascade of failures in the network. In this work, the rare events of contagious bankruptcies of the interconnected banking system are verified by three adaptive...