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A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis

Published online by Cambridge University Press:  14 July 2016

Agnès Lagnoux-Renaudie*
Affiliation:
Institut de Mathématique de Toulouse
*
Postal address: Institut de Mathématique de Toulouse, Université Paul Sabatier, 31062 Toulouse, France. Email address: [email protected]
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Abstract

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In this paper we consider the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into R multiple copies at various stages to speed up the simulation. Given the cost, the optimization of the algorithm suggests taking all the transition probabilities to be equal; nevertheless, in practice, these quantities are unknown. We address this problem by presenting an algorithm in two phases.

Type
Research Article
Copyright
Copyright © Applied Probability Trust 2009 

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