Sampling per mode for rare event simulation in switching diffusions

Jaroslav Krystul, François Le Gland and Pascal Lezaud

Stochastic Processes and their Applications, 2012, vol. 122, issue 7, 2639-2667

Abstract: A straightforward application of an interacting particle system to estimate a rare event for switching diffusions fails to produce reasonable estimates within a reasonable amount of simulation time. To overcome this, a conditional “sampling per mode” algorithm has been proposed by Krystul in [10]; instead of starting the algorithm with particles randomly distributed, we draw in each mode, a fixed number particles and at each resampling step, the same number of particles is sampled for each visited mode. In this paper, we establish a law of large numbers as well as a central limit theorem for the estimate.

Keywords: Rare event simulation; Switching diffusion; Multilevel splitting; Stratification; Central limit theorem (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spa.2012.04.011

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