@article{a5f83928bddc4a63b94f6d1481f9e864,
title = "Splitting algorithms for rare event simulation over long time intervals",
abstract = "In this paper we study the performance of splitting algorithms, and in particular the RESTART method, for the numerical approximation of the probability that a process leaves a neighborhood of a metastable point during some long time interval [0,T]. We show that, in contrast to alternatives such as importance sampling, the decay rate of the second moment does not degrade as T → ∞. In the course of the analysis we develop some related large deviation estimates that apply when the time interval of interest depends on the large deviation parameter.",
keywords = "Large deviations, Metastable points, Monte Carlo methods, RESTART, Splitting algorithms, 22/2 OA procedure",
author = "Anne Buijsrogge and Paul Dupuis and Michael Snarski",
note = "Funding Information: Acknowledgments. A. Buijsrogge{\textquoteright}s research supported by the Netherlands Organization for Scientific Research (NWO), project number 613.001.105. P. Dupuis{\textquoteright} research supported in part by the National Science Foundation (DMS-1317199), then AFOSR (FA-9550-18-1-0214) and the Defense Advanced Research Projects Agency (W911NF-15-2-0122). M. Snarski{\textquoteright}s research supported in part by NSERC (PGSD3-471576-2015), DOE (DESC0010539) and DARPA (W911NF-15-2-0122). Publisher Copyright: {\textcopyright} 2020 Institute of Mathematical Statistics.",
year = "2020",
month = dec,
doi = "10.1214/20-AAP1578",
language = "English",
volume = "30",
pages = "2963--2998",
journal = "Annals of applied probability",
issn = "1050-5164",
publisher = "Institute of Mathematical Statistics",
number = "6",
}