Rare Event Simulation Using Reversible Shaking Transformations
نویسندگان
چکیده
منابع مشابه
Rare Event Simulation Using Reversible Shaking Transformations
We introduce random transformations called reversible shaking transformations which we use to design two schemes for estimating rare event probability. One is based on interacting particle systems (IPS) and the other on time-average on a single path (POP) using ergodic theorem. We discuss their convergence rates and provide numerical experiments including continuous stochastic processes and jum...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2015
ISSN: 1064-8275,1095-7197
DOI: 10.1137/14098418x