Large deviations and fast simulation in the presence of boundaries. (Q2574516): Difference between revisions

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-Soren Asmussen
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+Soren Asmussen
@@ Property / author: Soren Asmussen / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+How large delays build up in a GI/G/1 queue
@@ Property / cites work: How large delays build up in a GI/G/1 queue / rank @@
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+Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the <i>GI/G/</i>1 queue
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+Q3026011
@@ Property / cites work: Q3026011 / rank @@
+Normal rank
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+Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
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+Extreme value theory for queues via cycle maxima
@@ Property / cites work: Extreme value theory for queues via cycle maxima / rank @@
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+On optional stopping of some exponential martingales for Lévy processes with or without reflection.
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+Q4878849
@@ Property / cites work: Q4878849 / rank @@
+Normal rank
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+Rare events simulation for heavy-tailed distributions
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+Exact buffer overflow calculations for queues via martingales
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+Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
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+Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
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+Large deviations for vector-valued Lévy processes
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+Q4391441
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+Filtered Monte Carlo
@@ Property / cites work: Filtered Monte Carlo / rank @@
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+Analysis of an importance sampling estimator for tandem queues
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+Limits of first passage times to rare sets in regenerative processes
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+Counterexamples in importance sampling for large deviations probabilities
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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+Fast simulation of rare events in queueing and reliability models
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+A Limit Theorem for Passage Times in Ergodic Regenerative Processes
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+Useful martingales for stochastic storage processes with Lévy input
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+Stochastic-Process Limits
@@ Property / cites work: Stochastic-Process Limits / rank @@
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