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2 results

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

  • Part of
  • Agnès Lagnoux-Renaudie
  • Journal:
    Journal of Applied Probability / Volume 46 / Issue 2 / June 2009
    Published online by Cambridge University Press:
    14 July 2016, pp. 429-452
    Print publication:
    June 2009
    • Article
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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.