Efficient rare-event simulation for perpetuities (Q449227): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+C60
@@ Property / Mathematics Subject Classification ID: 65C60 / rank @@
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+C40
@@ Property / Mathematics Subject Classification ID: 65C40 / rank @@
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+J22
@@ Property / Mathematics Subject Classification ID: 60J22 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+D05
@@ Property / Mathematics Subject Classification ID: 62D05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F10
@@ Property / Mathematics Subject Classification ID: 62F10 / rank @@
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@@ Property / zbMATH DE Number @@
+6081495
@@ Property / zbMATH DE Number: 6081495 / rank @@
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@@ Property / zbMATH Keywords @@
+state-dependent importance sampling
@@ Property / zbMATH Keywords: state-dependent importance sampling / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+perpetuities
@@ Property / zbMATH Keywords: perpetuities / rank @@
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@@ Property / zbMATH Keywords @@
+tail asymptotics
@@ Property / zbMATH Keywords: tail asymptotics / rank @@
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@@ Property / zbMATH Keywords @@
+Lyapunov inequalities
@@ Property / zbMATH Keywords: Lyapunov inequalities / rank @@
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@@ Property / zbMATH Keywords @@
+Markov chains
@@ Property / zbMATH Keywords: Markov chains / rank @@
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+numerical examples
@@ Property / zbMATH Keywords: numerical examples / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2593887383
@@ Property / OpenAlex ID: W2593887383 / rank @@
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@@ Property / arXiv ID @@
+.3419
@@ Property / arXiv ID: 1201.3419 / rank @@
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@@ Property / cites work @@
+Q4379506
@@ Property / cites work: Q4379506 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied Probability and Queues
@@ Property / cites work: Applied Probability and Queues / rank @@
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@@ Property / cites work @@
+Ruin probabilities via local adjustment coefficients
+Normal rank
@@ Property / cites work @@
+Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
+Normal rank
@@ Property / cites work @@
+Efficient rare-event simulation for the maximum of heavy-tailed random walks
+Normal rank
@@ Property / cites work @@
+Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
+Normal rank
@@ Property / cites work @@
+On exact sampling of stochastic perpetuities
@@ Property / cites work: On exact sampling of stochastic perpetuities / rank @@
+Normal rank
@@ Property / cites work @@
+Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
+Normal rank
@@ Property / cites work @@
+Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
+Normal rank
@@ Property / cites work @@
+Rare event simulation for processes generated via stochastic fixed point equations
+Normal rank
@@ Property / cites work @@
+Iterated Random Functions
@@ Property / cites work: Iterated Random Functions / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
+Normal rank
@@ Property / cites work @@
+Importance Sampling, Large Deviations, and Differential Games
+Normal rank
@@ Property / cites work @@
+Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+A probabilistic representation of constants in Kesten's renewal theorem
+Normal rank
@@ Property / cites work @@
+Analysis of an importance sampling estimator for tandem queues
+Normal rank
@@ Property / cites work @@
+Implicit renewal theory and tails of solutions of random equations
+Normal rank
@@ Property / cites work @@
+Random difference equations and renewal theory for products of random matrices
+Normal rank
@@ Property / cites work @@
+Monte Carlo strategies in scientific computing
@@ Property / cites work: Monte Carlo strategies in scientific computing / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+Finite and infinite time ruin probabilities in a stochastic economic environment.
+Normal rank
@@ Property / cites work @@
+A diffusion process and its applications to detecting a change in the drift of Brownian motion
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@@ links / mardi / name / links / mardi / name @@
+Publication:449227