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Rare event simulation for stochastic dynamics in continuous time
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Angeli, Letizia, Grosskinsky, Stefan, Johansen, Adam M. and Pizzoferrato, Andrea (2019) Rare event simulation for stochastic dynamics in continuous time. Journal of Statistical Physics, 176 . pp. 1185-1210. doi:10.1007/s10955-019-02340-1 ISSN 0022-4715.
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Official URL: https://doi.org/10.1007/s10955-019-02340-1
Abstract
Large deviations for additive path functionals of stochastic dynamics and related numerical approaches have attracted significant recent research interest. We focus on the question of convergence properties for cloning algorithms in continuous time, and establish connections to the literature of particle filters and sequential Monte Carlo methods. This enables us to derive rigorous convergence bounds for cloning algorithms which we report in this paper, with details of proofs given in a further publication. The tilted generator characterizing the large deviation rate function can be associated to non-linear processes which give rise to several representations of the dynamics and additional freedom for associated numerical approximations. We discuss these choices in detail, and combine insights from the filtering literature and cloning algorithms to compare different approaches and improve efficiency.
| Item Type: | Journal Article | |||||||||||||||||||||
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| Divisions: | Faculty of Science, Engineering and Medicine > Engineering > Engineering Faculty of Science, Engineering and Medicine > Science > Mathematics |
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| Journal or Publication Title: | Journal of Statistical Physics | |||||||||||||||||||||
| Publisher: | Springer New York LLC | |||||||||||||||||||||
| ISSN: | 0022-4715 | |||||||||||||||||||||
| Official Date: | September 2019 | |||||||||||||||||||||
| Dates: |
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| Volume: | 176 | |||||||||||||||||||||
| Page Range: | pp. 1185-1210 | |||||||||||||||||||||
| DOI: | 10.1007/s10955-019-02340-1 | |||||||||||||||||||||
| Status: | Peer Reviewed | |||||||||||||||||||||
| Publication Status: | Published | |||||||||||||||||||||
| Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||||||||
| Date of first compliant deposit: | 12 June 2019 | |||||||||||||||||||||
| Date of first compliant Open Access: | 3 July 2019 | |||||||||||||||||||||
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