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December 2020 Splitting algorithms for rare event simulation over long time intervals
Anne Buijsrogge, Paul Dupuis, Michael Snarski
Ann. Appl. Probab. 30(6): 2963-2998 (December 2020). DOI: 10.1214/20-AAP1578

Abstract

In this paper we study the performance of splitting algorithms, and in particular the RESTART method, for the numerical approximation of the probability that a process leaves a neighborhood of a metastable point during some long time interval $[0,T]$. We show that, in contrast to alternatives such as importance sampling, the decay rate of the second moment does not degrade as $T\rightarrow\infty$. In the course of the analysis we develop some related large deviation estimates that apply when the time interval of interest depends on the large deviation parameter.

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Anne Buijsrogge. Paul Dupuis. Michael Snarski. "Splitting algorithms for rare event simulation over long time intervals." Ann. Appl. Probab. 30 (6) 2963 - 2998, December 2020. https://doi.org/10.1214/20-AAP1578

Information

Received: 1 February 2019; Revised: 1 September 2019; Published: December 2020
First available in Project Euclid: 14 December 2020

Digital Object Identifier: 10.1214/20-AAP1578

Subjects:
Primary: 60F10, 60G99, 65C05

Rights: Copyright © 2020 Institute of Mathematical Statistics

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Vol.30 • No. 6 • December 2020
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