Multilevel branching and splitting algorithm for estimating rare event probabilities

We analyze the splitting algorithm performance in the estimation of rare event probabilities in a discrete multidimensional framework. For this we assume that each threshold is partitioned into disjoint subsets and the probability for a particle to reach the next threshold will depend on the startin...

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Bibliographic Details
Published in:	Simulation modelling practice and theory Vol. 72; no. March 2017; pp. 150 - 167
Main Authors:	Lagnoux, Agnès, Lezaud, Pascal
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.03.2017 Elsevier
Subjects:	Branching process Conformal maps First crossing time density Mathematics Monte Carlo Probability Rare event probability estimation Simulation Splitting Variance reduction Rare event probability estimation Splitting Branching process First crossing time density Monte Carlo Simulation Variance reduction Conformal maps splitting first crossing time density variance reduction simulation branching process rare event probability estimation conformal maps
ISSN:	1569-190X, 1878-1462
Online Access:	Get full text
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