SPLITTING ALGORITHMS FOR RARE EVENT SIMULATION OVER LONG TIME INTERVALS
成果类型：
Article
署名作者：
Buijsrogge, Anne; Dupuis, Paul; Snarski, Michael
署名单位：
University of Twente; Brown University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/20-AAP1578
发表日期：
2020
页码：
2963-2998
关键词：
摘要：
In this paper we study the performance of splitting algorithms, and in particular the RESTART method, for the numerical approximation of the probability that a process leaves a neighborhood of a metastable point during some long time interval [0, T]. We show that, in contrast to alternatives such as importance sampling, the decay rate of the second moment does not degrade as T -> infinity. In the course of the analysis we develop some related large deviation estimates that apply when the time interval of interest depends on the large deviation parameter.
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