An approach to rare event simulation uses the technique of splitting. The basic idea is to split sample paths of the stochastic process into multiple copies when they approach closer to the rare set; this increases the overall number of hits to the rare set for a given amount of simulation time. This paper analyzes the bias and efficiency of some simple cases of this method.
By: Paul Glasserman (Columbia Univ.), Philip Heidelberger, Perwez Shahabuddin (Columbia Univ.) and Tim Zajic (Columbia Univ.)
Published in: RC20521 in 1996
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