Large deviations and fast simulation in the presence of boundaries.

DOI10.1016/S0304-4149(02)00152-7zbMath1075.60576MaRDI QIDQ2574516

Manfred Jobmann, Hans-Peter Schwefel, Pascal Fuckerieder, Soren Asmussen

Publication date: 29 November 2005

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00152-7

zbMATH Keywords

reflection; importance sampling; local time; regenerative process; Lévy process; queueing theory; exponential change of measure; rare event; buffer overflow; saddlepoint; filtered Monte Carlo

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60K25: Queueing theory (aspects of probability theory)

Related Items

Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary, Rare-event analysis and simulation of queues with time-varying rates, Estimation of the realized (co-)volatility vector: large deviations approach

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