Marginalization for rare event simulation in switching diffusions - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Conference Papers Year : 2013

Marginalization for rare event simulation in switching diffusions

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.
No file

Dates and versions

hal-00911419 , version 1 (29-11-2013)

Identifiers

  • HAL Id : hal-00911419 , version 1

Cite

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. ⟨hal-00911419⟩
223 View
0 Download

Share

Gmail Facebook X LinkedIn More