On asymptotically efficient simulation of ruin probabilities in a Markovian environment (Q4025275): Difference between revisions

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+Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
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+The ruin problem for finite Markov chains
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+Limit theorems for first-passage times in linear and non-linear renewal theory
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+Markov additive processes. I: Eigenvalue properties and limit theorems
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+Markov additive processes. II: Large deviations
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+Convex Analysis
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+Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
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+Non-negative matrices and Markov chains.
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+Importance sampling in the Monte Carlo study of sequential tests
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