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Effective branching splitting method under cost contraint

By Agnes Lagnoux

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 to sample a number of subtrials which may be non-integer and even unknown but estimated. In this paper, we present three different approaches to face this problem which provide precise estimates of the relative error between P(A) and its estimator

Topics: splitting method, simulation, cost function, Laplace transform, Galton-Watson, branching processes, iterated functions, rare event, MSC: 65U05, 44A10, 60J80, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
Publisher: 'Elsevier BV'
Year: 2008
OAI identifier: oai:HAL:hal-00644141v1

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