Sampling per mode for rare event simulation in switching diffusions
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 ; 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.
Volume (Year): 122 (2012)
Issue (Month): 7 ()
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