Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1986635170 / rank | |||
Normal rank | |||
Revision as of 18:19, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
scientific article |
Statements
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (English)
0 references
20 July 2012
0 references
conditional distribution
0 references
heavy-tailed distribution
0 references
change of measure
0 references
rare-event simulation
0 references
numerical examples
0 references
Monte Carlo estimators
0 references
Monte Carlo algorithm
0 references
central limit theorem
0 references
