Effective branching splitting method under cost constraint

DOI10.1016/J.SPA.2007.10.009MaRDI QIDQ952828zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Berry-Esseen boundsbranching processes (Galton-Watson)Chernoff's boundscost functioniterated functionsLaplace transformrare eventsplitting method

Mathematics Subject Classification ID

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

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Cites work

• A Generalized Bernoulli Scheme and Its Limit Distributions
• A large deviations perspective on the efficiency of multilevel splitting
• Branching Processes with Random Environments, II: Limit Theorems
• Fast simulation of rare events in queueing and reliability models
• scientific article; zbMATH DE number 1666084 (Why is no real title available?)
• scientific article; zbMATH DE number 4207654 (Why is no real title available?)
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• scientific article; zbMATH DE number 795109 (Why is no real title available?)
• scientific article; zbMATH DE number 3410334 (Why is no real title available?)
• Iterated Random Functions
• Limit theorems for branching processes in a random environment
• Multilevel splitting for estimating rare event probabilities
• Normalisation d'un processus de branchement critique dans un environnement aléatoire. (Normalization of a critical branching process in a random environment)
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On Branching Processes in Random Environments
• On Branching Processes with Random Environments: I: Extinction Probabilities
• On Monte Carlo estimation of large deviations probabilities
• Probability approximations via the Poisson clumping heuristic
• Random difference equations and renewal theory for products of random matrices
• RARE EVENT SIMULATION
• Strict stationarity of generalized autoregressive processes
• The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(11)

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

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• RESTART

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