Title of article :
Effective branching splitting method under cost constraint
Author/Authors :
Lagnoux-Renaudie، نويسنده , , Agnès، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
This paper deals with the splitting method first introduced in rare event analysis. In this technique, the sample paths are split into R multiple copies at various stages during the simulation. Given the cost, the optimization of the algorithm suggests sampling a number of subtrials which may be non-integer and even unknown but estimated. To avoid this problem, we present in this paper three different approaches which provide precise estimates of the relative error between P ( A ) and its estimator.
Keywords :
Cost function , Laplace transform , Galton–Watson , branching processes , Iterated functions , Rare event , Splitting method , SIMULATION
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications