A SEQUENTIAL MONTE CARLO APPROACH TO COMPUTING TAIL PROBABILITIES IN STOCHASTIC MODELS

作者：Chan Hock Peng^*; Lai Tze Leung

来源：Annals of Applied Probability, 2011, 21(6): 2315-2342.

DOI：10.1214/10-AAP758

• Exceedance probabilities
• large deviations
• logarithmic efficiency
• sequential importance sampling and resampling

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.

• 出版日期2011-12