Section: New Results

Adaptive multilevel splitting

Participants : Frédéric Cérou, Arnaud Guyader, Florent Malrieu.

This is a collaboration with Pierre Del Moral (EPI ALEA, Inria Bordeaux—Sud Ouest).

We show that an adaptive version of multilevel splitting for rare events is strongly consistent. We also show that the estimates satisfy a CLT (central limit theorem), with the same asymptotic variance as the non-adaptive algorithm with the optimal choice of the parameters. It is a strong and general result, that generalizes some of our previous results, and the proof is quite technical and involved.