Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303): Difference between revisions
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| Property / DOI: 10.1016/J.SPA.2012.05.001 / rank | |||
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Latest revision as of 17:32, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
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Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (English)
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20 July 2012
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conditional distribution
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heavy-tailed distribution
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change of measure
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rare-event simulation
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numerical examples
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Monte Carlo estimators
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Monte Carlo algorithm
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central limit theorem
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