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Effective branching splitting method under cost constraint

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  • Lagnoux-Renaudie, Agnès

Abstract

This paper deals with the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into R multiple copies at various stages during the simulation. Given the cost, the optimization of the algorithm suggests sampling a number of subtrials which may be non-integer and even unknown but estimated. To avoid this problem, we present in this paper three different approaches which provide precise estimates of the relative error between and its estimator.

Suggested Citation

  • Lagnoux-Renaudie, Agnès, 2008. "Effective branching splitting method under cost constraint," Stochastic Processes and their Applications, Elsevier, vol. 118(10), pages 1820-1851, October.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:10:p:1820-1851
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    References listed on IDEAS

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    1. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin & Tim Zajic, 1999. "Multilevel Splitting for Estimating Rare Event Probabilities," Operations Research, INFORMS, vol. 47(4), pages 585-600, August.
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    Cited by:

    1. James Hodgson & Adam M. Johansen & Murray Pollock, 2022. "Unbiased Simulation of Rare Events in Continuous Time," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2123-2148, September.

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