Section: New Results

Bias and variance reduction in rare event simulation

Participant : François Le Gland.

This is a collaboration with Damien Jacquemart (ONERA, Palaiseau) and Jérôme Morio (ONERA, Toulouse).

In [17] , we highlight a bias induced by the discretization of the sampled Markov paths in the splitting algorithm, and we propose to correct this bias using a deformation of the intermediate regions, as proposed in  [48] . Moreover, we propose two numerical methods to design intermediate regions in the splitting algorithm that minimise the variance. One is connected with a partial differential equation approach, the other one is based on the discretization of the state space of the process.