2022/12/09 by Frédéric Cérou, Cérou, Frédéric, Sofiane Martel +3
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Probability (math.PR) #Probability and Risk Models
paper · doi:10.48550/arxiv.2212.04750
openalex publication_date 2022/12/09 · openalex created_date 2022/12/25 · openalex updated_date 2026/07/28
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iteratively simulating clones of the process and selecting trajectories that have reached the highest value of a so-called importance function. In this paper, the large sample size relative variance of the AMS small probability estimator is considered. The main result is a large deviations logarithmic equivalent of the latter in the small noise asymptotics, which is rigorously derived. It is given as a maximisation problem explicit in terms of the quasi-potential cost function associated with the underlying small noise large deviations. Necessary and sufficient geometric conditions ensuring the vanishing of the obtained quantity ('weak' asymptotic efficiency) are provided. Interpretations and practical consequences are discussed.