Splitting techniques

Rare Event Simulation using Monte Carlo Methods

Volumn , Issue , 2009, Pages 39-61

  L’Ecuyer, Pierre ^a   Gland, François Le ^b   Lezaud, Pascal ^c   Tuffin, Bruno ^b  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b INRIA   (France)

^c Aix Marseille ACC   (France)

Author keywords

Analysis in simplified setting a coin flipping model; Fixed splitting setting algorithm equivalent to Galton Watson branching process; General principles and known versions of splitting; General principles of splitting techniques; Hamilton Jacobi Bellman (HJB) nonlinear partial differential equations; Implementing splitting idea; IS and splitting techniques investigated with Monte Carlo method; Splitting and Russian roulette; Splitting techniques

Indexed keywords

EID: 84889283357     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9780470745403.ch3     Document Type: Chapter

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