Sampling per mode for rare event simulation in switching diffusions (Q432507): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(7 intermediate revisions by 6 users not shown) | |||
Property / review text | |||
A switching diffusion process \(X_t\) is considered which is described by a stochastic differential equation with coefficients depending on a Markov jump process. The problem is to estimate the probabilities connected with reaching a critical region by \(X_t\) in the case when it is a rare event. A Monte Carlo technique with multilevel splitting is considered for this purpose. Using the Feyman-Kac flows and interacting particles systems theory, the authors establish a law of large numbers and a central limit theorem for their estimate in the case when the number of particles tends to infinity. It is demonstrated that the proposed adaptive algorithm of particles resampling improves the asymptotic variance of the estimate. | |||
Property / review text: A switching diffusion process \(X_t\) is considered which is described by a stochastic differential equation with coefficients depending on a Markov jump process. The problem is to estimate the probabilities connected with reaching a critical region by \(X_t\) in the case when it is a rare event. A Monte Carlo technique with multilevel splitting is considered for this purpose. Using the Feyman-Kac flows and interacting particles systems theory, the authors establish a law of large numbers and a central limit theorem for their estimate in the case when the number of particles tends to infinity. It is demonstrated that the proposed adaptive algorithm of particles resampling improves the asymptotic variance of the estimate. / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C35 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C30 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H35 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 34F05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J60 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J05 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6052939 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
multilevel splitting | |||
Property / zbMATH Keywords: multilevel splitting / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
central limit theorem | |||
Property / zbMATH Keywords: central limit theorem / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Feyman-Kac distribution flow | |||
Property / zbMATH Keywords: Feyman-Kac distribution flow / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
interacting particle system approximation | |||
Property / zbMATH Keywords: interacting particle system approximation / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
switching diffusion process | |||
Property / zbMATH Keywords: switching diffusion process / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
stochastic differential equation | |||
Property / zbMATH Keywords: stochastic differential equation / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Markov jump process | |||
Property / zbMATH Keywords: Markov jump process / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
rare event | |||
Property / zbMATH Keywords: rare event / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Monte Carlo technique | |||
Property / zbMATH Keywords: Monte Carlo technique / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
law of large numbers | |||
Property / zbMATH Keywords: law of large numbers / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
algorithm | |||
Property / zbMATH Keywords: algorithm / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Rostislav E. Maiboroda / rank | |||
Normal rank | |||
Property / describes a project that uses | |||
Property / describes a project that uses: RESTART / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.spa.2012.04.011 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1998551426 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Rare Event Estimation for a Large‐Scale Stochastic Hybrid System with Air Traffic Application / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A nonasymptotic theorem for unnormalized Feynman-Kac particle models / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3412801 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4819702 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3434966 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Multilevel Splitting for Estimating Rare Event Probabilities / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4778955 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: RARE EVENT SIMULATION / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3629715 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3629714 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3434969 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Monte Carlo strategies in scientific computing. / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the efficiency of RESTART for multidimensional state systems / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Asymptotic Properties of Hybrid Diffusion Systems / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 11:05, 5 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sampling per mode for rare event simulation in switching diffusions |
scientific article |
Statements
Sampling per mode for rare event simulation in switching diffusions (English)
0 references
4 July 2012
0 references
A switching diffusion process \(X_t\) is considered which is described by a stochastic differential equation with coefficients depending on a Markov jump process. The problem is to estimate the probabilities connected with reaching a critical region by \(X_t\) in the case when it is a rare event. A Monte Carlo technique with multilevel splitting is considered for this purpose. Using the Feyman-Kac flows and interacting particles systems theory, the authors establish a law of large numbers and a central limit theorem for their estimate in the case when the number of particles tends to infinity. It is demonstrated that the proposed adaptive algorithm of particles resampling improves the asymptotic variance of the estimate.
0 references
multilevel splitting
0 references
central limit theorem
0 references
Feyman-Kac distribution flow
0 references
interacting particle system approximation
0 references
switching diffusion process
0 references
stochastic differential equation
0 references
Markov jump process
0 references
rare event
0 references
Monte Carlo technique
0 references
law of large numbers
0 references
algorithm
0 references
0 references