State-independent Importance Sampling for Random Walks with Regularly Varying Increments (Q5247112): Difference between revisions

@@ label / en / label / en @@
+State-independent Importance Sampling for Random Walks with Regularly Varying Increments
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv classification @@
+math.PR
@@ Property / arXiv classification: math.PR / rank @@
+Normal rank
@@ Property / arXiv classification @@
+q-fin.CP
@@ Property / arXiv classification: q-fin.CP / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3390
@@ Property / arXiv ID: 1206.3390 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4217357
@@ Property / cites work: Q4217357 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
+Normal rank
@@ Property / cites work @@
+Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
+Normal rank
@@ Property / cites work @@
+Rare events simulation for heavy-tailed distributions
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations results for subexponential tails, with applications to insurance risk
+Normal rank
@@ Property / cites work @@
+Improved algorithms for rare event simulation with heavy tails
+Normal rank
@@ Property / cites work @@
+On the inefficiency of state-independent importance sampling in the presence of heavy tails
+Normal rank
@@ Property / cites work @@
+Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
+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 @@
+Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...
+Normal rank
@@ Property / cites work @@
+State-dependent importance sampling for regularly varying random walks
+Normal rank
@@ Property / cites work @@
+Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
+Normal rank
@@ Property / cites work @@
+On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of Random Walks
@@ Property / cites work: Asymptotic Analysis of Random Walks / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviation probabilities for random walks with heavy tails
+Normal rank
@@ Property / cites work @@
+Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
+Normal rank
@@ Property / cites work @@
+Local asymptotics of the cycle maximum of a heavy-tailed random walk
+Normal rank
@@ Property / cites work @@
+On asymptotically efficient simulation of large deviation probabilities
+Normal rank
@@ Property / cites work @@
+Importance sampling for sums of random variables with regularly varying tails
+Normal rank
@@ Property / cites work @@
+Importance Sampling, Large Deviations, and Differential Games
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+The Asymptotic Efficiency of Simulation Estimators
+Normal rank
@@ Property / cites work @@
+Q5732992
@@ Property / cites work: Q5732992 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
+Normal rank
@@ Property / cites work @@
+Simulating heavy tailed processes using delayed hazard rate twisting
+Normal rank
@@ Property / cites work @@
+On distribution tail of the maximum of a random walk
+Normal rank
@@ Property / cites work @@
+A quick simulation method for excessive backlogs in networks of queues
+Normal rank
@@ Property / cites work @@
+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
+Normal rank
@@ Property / cites work @@
+On Monte Carlo estimation of large deviations probabilities
+Normal rank
@@ Property / cites work @@
+On large deviations theory and asymptotically efficient Monte Carlo estimation
+Normal rank
@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of Wiener-Hopf factors of a random walk
+Normal rank