Efficient rare-event simulation for perpetuities

DOI10.1016/j.spa.2012.05.002zbMath1254.65019arXiv1201.3419MaRDI QIDQ449227

Henry Lam, Bert Zwart, Jose H. Blanchet

Publication date: 12 September 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3419

zbMATH Keywords

Markov chains; numerical examples; perpetuities; tail asymptotics; Lyapunov inequalities; state-dependent importance sampling

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62F10: Point estimation

62D05: Sampling theory, sample surveys

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Importance sampling of heavy-tailed iterated random functions, Rare event simulation for processes generated via stochastic fixed point equations, Importance sampling for maxima on trees

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