Analysis of an interacting particle method for rare event estimation

DOI10.1007/S11134-013-9344-ZzbMath1278.60056OpenAlexW1995723161MaRDI QIDQ351492

Paul Dupuis, Yi Cai

Publication date: 5 July 2013

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-013-9344-z

zbMATH Keywords

large deviationempirical measureinteracting particle systemMonte Carlo approximationrare event

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of branching processes (60J85) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Stochastic particle methods (65C35)

Related Items (1)

Large deviations for weighted empirical measures arising in importance sampling

Uses Software

• RESTART

Cites Work

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• Asymptotic evaluation of certain markov process expectations for large time, II
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• The theory of direct probability redistribution and its application to rare event simulation

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