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RARE EVENT SIMULATION

Published online by Cambridge University Press:  12 December 2005

Agnès Lagnoux
Agnès Lagnoux
Affiliation:
Laboratoire de Statistique et Probabilités, Université Paul Sabatier, 31062 Toulouse Cedex 4, France, E-mail: lagnoux@cict.fr
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Abstract

This article deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various stages in the simulation. Our aim is to optimize the algorithm and to obtain a precise confidence interval of the estimator using branching processes. The numerical results presented suggest that the method is reasonably efficient.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 20 , Issue 1 , January 2006 , pp. 45 - 66
Copyright
© 2006 Cambridge University Press

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References

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