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Sampling per mode for rare event simulation in switching diffusions

Author

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  • Krystul, Jaroslav
  • Le Gland, François
  • Lezaud, Pascal

Abstract

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.

Suggested Citation

  • Krystul, Jaroslav & Le Gland, François & Lezaud, Pascal, 2012. "Sampling per mode for rare event simulation in switching diffusions," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2639-2667.
    • Handle: RePEc:eee:spapps:v:122:y:2012:i:7:p:2639-2667
    DOI: 10.1016/j.spa.2012.04.011
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    References listed on IDEAS

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    1. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin & Tim Zajic, 1999. "Multilevel Splitting for Estimating Rare Event Probabilities," Operations Research, INFORMS, vol. 47(4), pages 585-600, August.
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