Rare Event Simulation

Authors:
Agnès Lagnoux
Affiliations:
Laboratoire de Statistique et Probabilités, Université Paul Sabatier, 31062 Toulouse Cedex 4, France, E-mail: lagnoux@cict.fr
Venue:
Probability in the Engineering and Informational Sciences
Year:
2006

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Abstract

This article 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.