Efficient rare-event simulation for the maximum of heavy-tailed random walks (Q939072): Difference between revisions

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Revision as of 15:12, 28 June 2024

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Efficient rare-event simulation for the maximum of heavy-tailed random walks
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    Efficient rare-event simulation for the maximum of heavy-tailed random walks (English)
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    20 August 2008
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    state-dependent importance sampling
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    rare-event simulation
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    heavy-tails
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    Lyapunov bounds
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    random walks
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    single-server queue
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    change-of-measure
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