Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303): Difference between revisions

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Latest revision as of 12:32, 5 July 2024

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Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
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    Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (English)
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    20 July 2012
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    conditional distribution
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    heavy-tailed distribution
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    change of measure
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    rare-event simulation
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    numerical examples
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    Monte Carlo estimators
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    Monte Carlo algorithm
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    central limit theorem
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