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arXiv · 2212.04750

Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics

Frédéric Cérou·Sofiane Martel·Mathias Rousset
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Abstract

Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iteratively simulating clones of the process and selecting trajectories that have reached the highest value of a so-called importance function. In this paper, the large sample size relative variance of the AMS small probability estimator is considered. The main result is a large deviations logarithmic equivalent of the latter in the small noise asymptotics, which is rigorously derived. It is given as a maximisation problem explicit in terms of the quasi-potential cost function associated with the underlying small noise large deviations. Necessary and sufficient geometric conditions ensuring the vanishing of the obtained quantity ('weak' asymptotic efficiency) are provided. Interpretations and practical consequences are discussed.

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Frédéric Cérou, Sofiane Martel, Mathias Rousset. 2022-12-09. Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics. https://arxiv.org/abs/2212.04750

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