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Chapitre D'ouvrage Année : 2006

Branching and interacting particle interpretations of rare event probabilities

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Résumé

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.

Dates et versions

hal-00968737 , version 1 (01-04-2014)

Identifiants

Citer

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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