Limit theorems for the multilevel splitting algorithm in the simulation of rare events

@article{Crou2005LimitTF,
  title={Limit theorems for the multilevel splitting algorithm in the simulation of rare events},
  author={Fr{\'e}d{\'e}ric C{\'e}rou and François LeGland and Pierre Del Moral and Pascal Lezaud},
  journal={Proceedings of the Winter Simulation Conference, 2005.},
  year={2005},
  pages={10 pp.-}
}
In this article, a genetic-type algorithm based on interacting particle systems is presented, together with a genealogical model, for estimating a class of rare events arising for instance in telecommunication networks, nuclear engineering, etc. The distribution of a Markov process hitting a rare but critical set is represented in terms of a Feynman-Kac model in path space. Approximation results obtained previously for these models are applied here to estimate the probability of the rare events… CONTINUE READING
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