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Journal Articles Probability in the Engineering and Informational Sciences Year : 2006

Rare event simulation


This paper deals with estimations of probabilities of rare events using fast simulation based on the splitting method. In this technique, the sample paths are split into multiple copies at various stages in the simulation. Our aim is to optimize the algorithm and to obtain a precise confidence interval of the estimator using branching processes. The numerical results presented suggest that the method is reasonably efficient.
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hal-00644139 , version 1 (24-11-2011)



Agnes Lagnoux. Rare event simulation. Probability in the Engineering and Informational Sciences, 2006, 20 (1), pp.45-66. ⟨10.1017/S0269964806060025⟩. ⟨hal-00644139⟩
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