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Branching and interacting particle interpretations of rare event probabilities
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.
https://hal-enac.archives-ouvertes.fr/hal-00968737
Contributor : Céline Smith <>
Submitted on : Tuesday, April 1, 2014 - 2:43:11 PM
Last modification on : Tuesday, December 1, 2020 - 2:10:05 PM
Contributor : Céline Smith <>
Submitted on : Tuesday, April 1, 2014 - 2:43:11 PM
Last modification on : Tuesday, December 1, 2020 - 2:10:05 PM
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