Sampling per mode for rare event simulation in switching diffusions

DOI10.1016/J.SPA.2012.04.011zbMath1260.65008OpenAlexW1998551426MaRDI QIDQ432507

François Le Gland, Pascal Lezaud, Jaroslav Krystul

Publication date: 4 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.04.011

zbMATH Keywords

algorithmstochastic differential equationlaw of large numberscentral limit theoremMarkov jump processrare eventMonte Carlo techniqueFeyman-Kac distribution flowinteracting particle system approximationmultilevel splittingswitching diffusion process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (4)

Rare Event Simulation Using Reversible Shaking Transformations ⋮ Interacting particle system based estimation of reach probability of general stochastic hybrid systems ⋮ Bayesian parameter inference for partially observed stopped processes ⋮ Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

Uses Software

• RESTART

Cites Work

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• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• Monte Carlo strategies in scientific computing.
• Multilevel Splitting for Estimating Rare Event Probabilities
• Asymptotic Properties of Hybrid Diffusion Systems
• Rare Event Estimation for a Large‐Scale Stochastic Hybrid System with Air Traffic Application
• On the efficiency of RESTART for multidimensional state systems
• RARE EVENT SIMULATION

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