Branching and interacting particle interpretations of rare event probabilities

Pierre Del Moral 1 Pascal Lezaud 2
1 UNS - Université Nice Sophia Antipolis
2 DGAC - Direction Générale de l'Aviation Civile
Abstract : This article focuses on branching particle interpretations of rare events. We connect importance sampling techniques with interacting particle algorithms, and multi-splitting branching models. These Monte Carlo methods are illustrated with a variety of examples arising in particle trapping analysis, as well as in ruin type estimation problems. We also provide a rather detailed presentation of the asymptotic theory of these particle algorithms, including exponential extinction probabilities, Lp-mean error bounds, central limit theorem, and fluctuation variance comparaisons.
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Chapitre d'ouvrage
Stochastic Hybrid Systems, Springer, pp 277-323, 2006, Lecture Notes in Control and Information Science, Volume 337, Print ISBN : 978-3-540-33466-8 ; Online ISBN : 978-3-540-33467-5. 〈10.1007/11587392_9〉
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https://hal-enac.archives-ouvertes.fr/hal-00968737
Contributeur : Céline Smith <>
Soumis le : mardi 1 avril 2014 - 14:43:11
Dernière modification le : lundi 19 février 2018 - 16:42:01

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Pierre Del Moral, Pascal Lezaud. Branching and interacting particle interpretations of rare event probabilities. Stochastic Hybrid Systems, Springer, pp 277-323, 2006, Lecture Notes in Control and Information Science, Volume 337, Print ISBN : 978-3-540-33466-8 ; Online ISBN : 978-3-540-33467-5. 〈10.1007/11587392_9〉. 〈hal-00968737〉

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