Zwart will use his grant to investigate rare events: low-probability events with a major impact such as floods, power outages and stock market crashes. Obtaining insight into rare events is challenging, as it is hard to obtain data from either real-life situations or large scale simulations. This makes rare event analysis a research area where mathematics has great potential; it is a major topic within probability theory – particularly large deviations theory.
Recent studies of complex networks have shown that rare events are better described with a so-called heavy-tailed distribution, of which the probability does not decrease exponentially in its tails like the normal distribution. The goal of this Vici project is to develop a general framework for analysis of rare events in heavy-tailed systems, develop robust algorithms for computation, estimation and simulation and applying these techniques to several major problems, such as the robustness of energy grids based on wind and solar energy.
The Vici grant is a funding instrument from NWO’s Talent Scheme. It gives senior researchers the opportunity to build up their own research group. NWO awarded a total of 36 Vici grants this year in all scientific disciplines, three of which were in the Physical Sciences. It is the fourth Vici grant at CWI after Harry Buhrman (2003), Ronald Cramer (2006) and Peter Grünwald (2010).