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Rare event simulation

Abstract : This paper deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various stages in the simulation. Our aim is to optimize the algorithm and to obtain a precise confidence interval of the estimator using branching processes. The numerical results presented suggest that the method is reasonably efficient.
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https://hal.archives-ouvertes.fr/hal-00644139
Contributor : Agnes Lagnoux <>
Submitted on : Thursday, November 24, 2011 - 9:50:47 AM
Last modification on : Wednesday, June 9, 2021 - 10:00:08 AM
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Agnes Lagnoux. Rare event simulation. Probability in the Engineering and Informational Sciences, Cambridge University Press (CUP), 2006, 20 (1), pp.45-66. ⟨10.1017/S0269964806060025⟩. ⟨hal-00644139⟩

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