Marginalization for rare event simulation in switching diffusions

Anindya Goswami 1 François Le Gland 2
2 ASPI - Applications of interacting particle systems to statistics
IRMAR - Institut de Recherche Mathématique de Rennes, Inria Rennes – Bretagne Atlantique
Abstract : In this paper we use splitting technique to estimate the probability of hitting a rare but criticalset by the continuous component of a switching diffusion. Instead of following classical approach we use a Wonham filter to achieve multiple goals including reduction of asymptotic variance and exemption from sampling the discrete components.
Type de document :
Communication dans un congrès
Proceedings of the International Conference on Mathematical Techniques in Engineering Applications, Dehradun 2013, Oct 2013, Dehradun, India. 2013
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https://hal.inria.fr/hal-00911419
Contributeur : Francois Le Gland <>
Soumis le : vendredi 29 novembre 2013 - 11:16:26
Dernière modification le : jeudi 11 janvier 2018 - 06:24:24

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  • HAL Id : hal-00911419, version 1

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Anindya Goswami, François Le Gland. Marginalization for rare event simulation in switching diffusions. Proceedings of the International Conference on Mathematical Techniques in Engineering Applications, Dehradun 2013, Oct 2013, Dehradun, India. 2013. 〈hal-00911419〉

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