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math.PR2022
On Merging of Stochastic Flow of Semi-Markov Dynamics
Anindya Goswami, Ravishankar Kapildev Yadav
Given a semi-Markov law, using an additional parameter, we consider a family of stochastic flows corresponding to that law. Then we suitably select a particular flow, for which we…
math.PR2014
Marginalization for rare event simulation in switching diffusions
Anindya Goswami, François Le Gland
In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following c…