A two-step branching splitting model under cost constraint for rare event analysis
Agnès Lagnoux-Renaudie
Source: J. Appl. Probab. Volume 46, Number 2 (2009), 429-452.
Abstract
In this paper we consider the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into $R$ multiple copies at various stages to speed up the simulation. Given the cost, the optimization of the algorithm suggests taking all the transition probabilities to be equal; nevertheless, in practice, these quantities are unknown. We address this problem by presenting an algorithm in two phases.
Primary Subjects: 65U05
Secondary Subjects: 44A10, 60J80
Keywords: Splitting method; simulation; cost function; Laplace transform; Galton--Watson branching process; iterated function; rare event
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1245676098
Digital Object Identifier: doi:10.1239/jap/1245676098
Zentralblatt MATH identifier:
05578817
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