Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
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Publication:4906511
DOI10.1239/aap/1354716593zbMath1269.65011MaRDI QIDQ4906511
Hock Peng Chan, Tze Leung Lai, Shaojie Deng
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1354716593
importance sampling; random walks; heavy-tailed distribution; rare-event simulation; sequential Monte Carlo method; efficient simulation; regularly varying tail; Doobs \(h\)-transform; Weibull and log-normal distributions
65C05: Monte Carlo methods
60G50: Sums of independent random variables; random walks
60E05: Probability distributions: general theory
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