Asymptotic normality of some splitting particle methods.
1 : Institut de Recherche en Informatique et Systèmes Aléatoires
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Website
Institut National de Recherche en Informatique et en Automatique, IMT Atlantique Bretagne-Pays de la Loire, INRIA-IRISA
Avenue du général LeclercCampus de Beaulieu 35042 RENNES CEDEX -
France
We will overview some recent results proving the asymptotic normality of some splitting algorithms used in rare event simulation. The key argument is the representation of such methods as Fleming-Viot particle systems, and then the obtention of a Central Limit Theorem in the large particle population limit.