A Two-Step branching splitting model under cost constraint for rare event analysis
Résumé
This paper deals with the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into R multiple copies at various stages to speed up simulation. Given the cost, the optimization of the algorithm suggests to take all the transition probabilities equal; nevertheless, in practice, these quantities are unknown. In this paper, we present an algorithm in two steps that copes with that problem.
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