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5. Rare Event Simulation Using Reversible Shaking Transformations

Rare Event Simulation Using Reversible Shaking Transformations

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：liongliong573

【摘 要】

：

We introduce random transformations called reversible shaking transformations which are used to design two schemes for estimating rare event probability.One is based on interacting particle systems(IP

【作 者】

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LIU GANG Gobet Emmanuel 

【机 构】

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Ecole Polytechnique

【出 处】

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第八届工业与应用数学国际大会

【发表日期】

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2015年5期

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　　We introduce random transformations called reversible shaking transformations which are used to design two schemes for estimating rare event probability.One is based on interacting particle systems(IPS)and the other on time-average on a single path(POP)using ergodic theorem.

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