Marginalization for rare event simulation in switching diffusions

Anindya Goswami; François Le Gland

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arXiv · 1412.5752

Marginalization for rare event simulation in switching diffusions

Anindya Goswami·François Le Gland

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Abstract

In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following classical approach we use Wonham filter to achieve multiple goals including reduction of asymptotic variance and exemption from sampling the discrete components.

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Anindya Goswami, François Le Gland. 2014-12-18. Marginalization for rare event simulation in switching diffusions. https://arxiv.org/abs/1412.5752

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