Article ID Journal Published Year Pages File Type
1156814 Stochastic Processes and their Applications 2012 29 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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