Marginalization for rare event simulation in switching diffusions
Probability
2014-12-19 v1
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.
Cite
@article{arxiv.1412.5752,
title = {Marginalization for rare event simulation in switching diffusions},
author = {Anindya Goswami and François Le Gland},
journal= {arXiv preprint arXiv:1412.5752},
year = {2014}
}