Efficient rare-event simulation for perpetuities (Q449227)

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Efficient rare-event simulation for perpetuities
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    title
    Efficient rare-event simulation for perpetuities (English)
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    author
    Jose H. Blanchet
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    Henry Lam
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    Bert Zwart
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    publication date
    12 September 2012
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    Mathematics Subject Classification ID
    65C60
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    65C40
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    60J22
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    62D05
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    62F10
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    zbMATH DE Number
    6081495
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    zbMATH Keywords
    state-dependent importance sampling
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    perpetuities
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    tail asymptotics
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    Lyapunov inequalities
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    Markov chains
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    numerical examples
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