Marginalization for rare event simulation in switching diffusions

2014/12/18 by Anindya Goswami, Goswami, Anindya, François Le Gland +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1412.5752

arxiv created 2014/12/18 · arxiv updated 2014/12/19

Abstract

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

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