Efficient simulation of tail probabilities of sums of correlated lognormals (Q666348): Difference between revisions

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+W2154700532
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+Improved algorithms for rare event simulation with heavy tails
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+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
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+Asymptotics of sums of lognormal random variables with Gaussian copula
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+Efficient rare-event simulation for the maximum of heavy-tailed random walks
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+Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
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+Introduction to rare event simulation.
@@ Property / cites work: Introduction to rare event simulation. / rank @@
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+Importance sampling for sums of random variables with regularly varying tails
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+Q4343010
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+Q5732992
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+Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
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+Q5706744
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+Q4004226
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+The transform likelihood ratio method for rare event simulation with heavy tails
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