Marginalization for rare event simulation in switching diffusions
  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 classical approach we use Wonham filter to achieve multiple goals including reduction of asymptotic variance and exemption from sampling the discrete components. 
Anindya Goswami, Fran\c{c}ois Le Gland
math.PR