Genealogical particle analysis of rare events
نویسندگان
چکیده
منابع مشابه
Genealogical Particle Analysis of Rare Events
In this paper an original interacting particle system approach is developed for studying Markov chains in rare event regimes. The proposed particle system is theoretically studied through a genealogical tree interpretation of Keynman-Kac path measures. The algorithmic implementation of the particle system is presented. An efficient estimator for the probability of ocurrence of a rare event is p...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051605000000566