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Lookup NU author(s): Dr Murray Pollock
This work is licensed under a Creative Commons Attribution 4.0 International License (CC BY 4.0).
© 2021, The Author(s).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.
Author(s): Hodgson J, Johansen AM, Pollock M
Publication type: Article
Publication status: Published
Journal: Methodology and Computing in Applied Probability
Year: 2022
Volume: 24
Pages: 2123-2148
Print publication date: 01/09/2022
Online publication date: 02/11/2021
Acceptance date: 15/07/2021
Date deposited: 22/06/2023
ISSN (print): 1387-5841
ISSN (electronic): 1573-7713
Publisher: Springer
URL: https://doi.org/10.1007/s11009-021-09886-2
DOI: 10.1007/s11009-021-09886-2
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