Efficient rare-event simulation for the maximum of heavy-tailed random walks (Q939072): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 18:51, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient rare-event simulation for the maximum of heavy-tailed random walks |
scientific article |
Statements
Efficient rare-event simulation for the maximum of heavy-tailed random walks (English)
0 references
20 August 2008
0 references
state-dependent importance sampling
0 references
rare-event simulation
0 references
heavy-tails
0 references
Lyapunov bounds
0 references
random walks
0 references
single-server queue
0 references
change-of-measure
0 references
