A sequential Monte Carlo approach to computing tail probabilities in stochastic models

Citation
Chan, Hock Peng et Lai, Tze Leung, A sequential Monte Carlo approach to computing tail probabilities in stochastic models, Annals of applied probability , 21(6), 2011, pp. 2315-2342
ISSN journal
10505164
Volume
21
Issue
6
Year of publication
2011
Pages
2315 - 2342
Database
ACNP
SICI code
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.