Open Access
December 2011 A sequential Monte Carlo approach to computing tail probabilities in stochastic models
Hock Peng Chan, Tze Leung Lai
Ann. Appl. Probab. 21(6): 2315-2342 (December 2011). DOI: 10.1214/10-AAP758

Abstract

Sequential Monte Carlo methods which involve sequential importance sampling and resampling are shown to provide a versatile approach to computing probabilities of rare events. By making use of martingale representations of the sequential Monte Carlo estimators, we show how resampling weights can be chosen to yield logarithmically efficient Monte Carlo estimates of large deviation probabilities for multidimensional Markov random walks.

Citation

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Hock Peng Chan. Tze Leung Lai. "A sequential Monte Carlo approach to computing tail probabilities in stochastic models." Ann. Appl. Probab. 21 (6) 2315 - 2342, December 2011. https://doi.org/10.1214/10-AAP758

Information

Published: December 2011
First available in Project Euclid: 23 November 2011

zbMATH: 1246.60042
MathSciNet: MR2895417
Digital Object Identifier: 10.1214/10-AAP758

Subjects:
Primary: 60F10 , 65C05
Secondary: 60J22 , 60K35

Keywords: Exceedance probabilities , large deviations , logarithmic efficiency , sequential importance sampling and resampling

Rights: Copyright © 2011 Institute of Mathematical Statistics

Vol.21 • No. 6 • December 2011
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