Sequential Monte Carlo Simulation of Rare Event Probability in Stochastic Hybrid Systems
نویسندگان
چکیده
Recently (Cérou et al., 2002) developed an elegant factorization of rare event probabilities appearing in diffusion processes and other strong Markov processes, and a sequential Monte Carlo simulation approach to estimate the factorized rare event probability. The paper extends this approach towards rarely switching diffusions, and demonstrates the effectiveness for a simple example. Copyright c © 2005 IFAC
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تاریخ انتشار 2004