Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary

DOI10.1080/15326340600820489MaRDI QIDQ5446503zbMATH OpenOpenAlexFDO

Authors A. B. Dieker, M. R. H. Mandjes

Publication date 6 March 2008

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326340600820489

zbMATH Keywords

asymptotic efficiencyimportance samplinglarge deviationspath-level twistingrandom walkstep-level twistingvariance reduction

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50) Monte Carlo methods (65C05)

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Cites work

• Counterexamples in importance sampling for large deviations probabilities
• Fast simulation of rare events in queueing and reliability models
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 3313523 (Why is no real title available?)
• Large deviations and fast simulation in the presence of boundaries.
• Large deviations for processes with independent increments
• Large deviations for vector-valued Lévy processes
• Large deviations: From empirical mean and measure to partial sums process
• On asymptotically efficient simulation of large deviation probabilities
• On Monte Carlo estimation of large deviations probabilities
• Simulating level-crossing probabilities by importance sampling

Cited in

(2)

• Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
• An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

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