Effective branching splitting method under cost constraint

DOI10.1016/J.SPA.2007.10.009zbMATH Open1156.65006OpenAlexW2020823818MaRDI QIDQ952828FDOQ952828

Authors: Agnès Lagnoux-Renaudie 

Publication date: 14 November 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.10.009

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zbMATH Keywords

Laplace transformcost functionBerry-Esseen boundssplitting methodrare eventiterated functionsbranching processes (Galton-Watson)Chernoff's bounds

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Laplace transform (44A10)

Cites Work

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• Limit theorems for branching processes in a random environment
• Multilevel splitting for estimating rare event probabilities
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• On Branching Processes with Random Environments: I: Extinction Probabilities
• Branching Processes with Random Environments, II: Limit Theorems
• Iterated Random Functions
• On Monte Carlo estimation of large deviations probabilities
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• Fast simulation of rare events in queueing and reliability models
• A large deviations perspective on the efficiency of multilevel splitting
• RARE EVENT SIMULATION
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
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• Normalisation d'un processus de branchement critique dans un environnement aléatoire. (Normalization of a critical branching process in a random environment)
• A Generalized Bernoulli Scheme and Its Limit Distributions

Cited In (7)

• Efficient Monte Carlo simulation via the generalized splitting method
• Solving the market split problem via branch-and-cut
• A large deviations perspective on the efficiency of multilevel splitting
• Unbiased simulation of rare events in continuous time
• A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
• Genetic genealogical models in rare event analysis
• Branching and interacting particle interpretations of rare event probabilities

Uses Software

• RESTART

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