A straightforward application of an interacting particle system to estimate a rare event for switching diffusions fails to produce reasonable estimates within a reasonable amount of simulation time. To overcome this, a conditional “sampling per mode” algorithm has been proposed by Krystul in...

Two algorithms are compared for maximizing the likelihood function associated with parameter estimation in partially observed diffusion processes: - - the EM algorithm, investigated by Dembo and Zeitouni (1986), an iterative algorithm where, at each iteration, an auxiliary function is computed...