State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables (Q6171770): Difference between revisions

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scientific article; zbMATH DE number 7713784

Language	Label	Description	Also known as
English	State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables	scientific article; zbMATH DE number 7713784

Statements

instance of

scholarly article

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title

State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables (English)

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author

Eya Ben Amar

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Nadhir Ben Rached

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Abdul-Lateef Haji-Ali

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Raúl Tempone

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published in

Statistics and Computing

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publication date

18 July 2023

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full work available at URL

https://arxiv.org/abs/2201.01340

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zbMATH Keywords

Monte Carlo

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rare event

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importance sampling

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stochastic optimal control

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MaRDI profile type

MaRDI publication profile

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cites work

A nonparametric approach to calculating value-at-risk

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Stochastic simulation: Algorithms and analysis

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Error rates and improved algorithms for rare event simulation with heavy Weibull tails

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Improved algorithms for rare event simulation with heavy tails

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Rare events simulation for heavy-tailed distributions

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Efficient simulation of tail probabilities of sums of correlated lognormals

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Exponential Family Techniques for the Lognormal Left Tail

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On the inefficiency of state-independent importance sampling in the presence of heavy tails

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On the generalization of the hazard rate twisting-based simulation approach

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Efficient importance sampling for large sums of independent and identically distributed random variables

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Efficient rare event simulation for heavy-tailed compound sums

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State-dependent importance sampling for regularly varying random walks

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Rare-event probability estimation with conditional Monte Carlo

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Ruin probabilities in classical risk models with gamma claims

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Importance Sampling, Large Deviations, and Differential Games

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Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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Dynamic importance sampling for uniformly recurrent Markov chains

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Importance sampling for sums of random variables with regularly varying tails

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Improving the Asmussen–Kroese-Type Simulation Estimators

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Q4433608

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On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms

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Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

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Simulating heavy tailed processes using delayed hazard rate twisting

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Handbook of Monte Carlo Methods

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State-independent Importance Sampling for Random Walks with Regularly Varying Increments

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Identifiers

zbMATH Open document ID

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10.1007/s11222-022-10202-2

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6171770

@@ Property / cites work @@
+A nonparametric approach to calculating value-at-risk
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Error rates and improved algorithms for rare event simulation with heavy Weibull tails
+Normal rank
@@ Property / cites work @@
+Improved algorithms for rare event simulation with heavy tails
+Normal rank
@@ Property / cites work @@
+Rare events simulation for heavy-tailed distributions
+Normal rank
@@ Property / cites work @@
+Efficient simulation of tail probabilities of sums of correlated lognormals
+Normal rank
@@ Property / cites work @@
+Exponential Family Techniques for the Lognormal Left Tail
+Normal rank
@@ Property / cites work @@
+On the inefficiency of state-independent importance sampling in the presence of heavy tails
+Normal rank
@@ Property / cites work @@
+On the generalization of the hazard rate twisting-based simulation approach
+Normal rank
@@ Property / cites work @@
+Efficient importance sampling for large sums of independent and identically distributed random variables
+Normal rank
@@ Property / cites work @@
+Efficient rare event simulation for heavy-tailed compound sums
+Normal rank
@@ Property / cites work @@
+State-dependent importance sampling for regularly varying random walks
+Normal rank
@@ Property / cites work @@
+Rare-event probability estimation with conditional Monte Carlo
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in classical risk models with gamma claims
+Normal rank
@@ Property / cites work @@
+Importance Sampling, Large Deviations, and Differential Games
+Normal rank
@@ Property / cites work @@
+Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
+Normal rank
@@ Property / cites work @@
+Dynamic importance sampling for uniformly recurrent Markov chains
+Normal rank
@@ Property / cites work @@
+Importance sampling for sums of random variables with regularly varying tails
+Normal rank
@@ Property / cites work @@
+Improving the Asmussen–Kroese-Type Simulation Estimators
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms
+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 @@
+Handbook of Monte Carlo Methods
@@ Property / cites work: Handbook of Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+State-independent Importance Sampling for Random Walks with Regularly Varying Increments
+Normal rank