Marginalization for rare event simulation in switching diffusions

Anindya Goswami (1) , François Le Gland (2)

1 IISER Pune - Indian Institute of Science Education and Research Pune
2 ASPI - Applications of interacting particle systems to statistics

In this paper we use splitting technique to estimate the probability of hitting a rare but criticalset by the continuous component of a switching diffusion. Instead of following classical approach we use a Wonham filter to achieve multiple goals including reduction of asymptotic variance and exemption from sampling the discrete components.

Domaines: Probabilités [math.PR]

Anindya Goswami, François Le Gland. Marginalization for rare event simulation in switching diffusions. Proceedings of the International Conference on Mathematical Techniques in Engineering Applications, Dehradun 2013, Oct 2013, Dehradun, India. ⟨hal-00911419⟩