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Unbiased simulation of rare events in continuous time
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Hodgson, James, Johansen, Adam M. and Pollock, Murray (2022) Unbiased simulation of rare events in continuous time. Methodology and Computing in Applied Probability, 24 . pp. 2123-2148. doi:10.1007/s11009-021-09886-2 ISSN 1387-5841.
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Official URL: https://doi.org/10.1007/s11009-021-09886-2
Abstract
For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of numerical approximations of the Markov process. Recent work in the exact and ε-strong simulation of diffusions, which can be used to almost surely constrain sample paths to a given tolerance, suggests one way to do this. We specify how such algorithms can be combined with the classical multilevel splitting method for rare event simulation. This provides unbiased estimations of the probability in question. We discuss the practical feasibility of the algorithm with reference to existing ε-strong methods and provide proof-of-concept numerical examples.
Item Type: | Journal Article | |||||||||||||||||||||
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Subjects: | Q Science > QA Mathematics T Technology > T Technology (General) |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||||||||
Library of Congress Subject Headings (LCSH): | Simulation methods -- Mathematical Model, Limit theorems (Probability theory), Monte Carlo method, Digital computer simulation, Markov processes, System analysis -- Data processing | |||||||||||||||||||||
Journal or Publication Title: | Methodology and Computing in Applied Probability | |||||||||||||||||||||
Publisher: | Springer | |||||||||||||||||||||
ISSN: | 1387-5841 | |||||||||||||||||||||
Official Date: | September 2022 | |||||||||||||||||||||
Dates: |
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Volume: | 24 | |||||||||||||||||||||
Page Range: | pp. 2123-2148 | |||||||||||||||||||||
DOI: | 10.1007/s11009-021-09886-2 | |||||||||||||||||||||
Status: | Peer Reviewed | |||||||||||||||||||||
Publication Status: | Published | |||||||||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||||||||
Date of first compliant deposit: | 19 July 2021 | |||||||||||||||||||||
Date of first compliant Open Access: | 4 November 2021 | |||||||||||||||||||||
RIOXX Funder/Project Grant: |
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