Sampling per mode for rare event simulation in switching diffusions

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Krystul, Jaroslav³  Le Gland, Francois⁴  Lezaud, Pascal^1,2 

[1] DSNA DTI, F-31055 Toulouse, France

[2] Inst Math Toulouse, F-31055 Toulouse, France

[3] Univ Twente, Dept Appl Math, NL-7500 AE Enschede, Netherlands

[4] INRIA Rennes, F-35042 Rennes, France

关键词: Rare event simulation;    Switching diffusion;    Multilevel splitting;    Stratification;    Central limit theorem;   

DOI  :  10.1016/j.spa.2012.04.011

来源: Elsevier

【 摘 要 】

A straightforward application of an interacting particle system to estimate a rare event for switching diffusions fails to produce reasonable estimates within a reasonable amount of simulation time. To overcome this, a conditional sampling per mode algorithm has been proposed by Krystul in [10]; instead of starting the algorithm with particles randomly distributed, we draw in each mode, a fixed number particles and at each resampling step, the same number of particles is sampled for each visited mode. In this paper, we establish a law of large numbers as well as a central limit theorem for the estimate. (C) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

Free