Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303): Difference between revisions
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conditional distribution | |||
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heavy-tailed distribution | |||
| Property / zbMATH Keywords: heavy-tailed distribution / rank | |||
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change of measure | |||
| Property / zbMATH Keywords: change of measure / rank | |||
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rare-event simulation | |||
| Property / zbMATH Keywords: rare-event simulation / rank | |||
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numerical examples | |||
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Monte Carlo estimators | |||
| Property / zbMATH Keywords: Monte Carlo estimators / rank | |||
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Monte Carlo algorithm | |||
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central limit theorem | |||
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Revision as of 01:03, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
scientific article |
Statements
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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