Efficient importance sampling in ruin problems for multidimensional regularly varying random walks (Q3578666): Difference between revisions

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Latest revision as of 00:29, 3 July 2024

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Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
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    Efficient importance sampling in ruin problems for multidimensional regularly varying random walks (English)
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    20 July 2010
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    state dependent
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    importance sampling
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    regularly varying
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    random walk
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    heavy tail
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    strong efficiency
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    rare-event simulation
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    mixture family
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    multidimension
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