Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156814 | Stochastic Processes and their Applications | 2012 | 29 Pages |
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)
Authors
Jaroslav Krystul, François Le Gland, Pascal Lezaud,