Large deviations and fast simulation in the presence of boundaries. (Q2574516)
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scientific article; zbMATH DE number 2233710
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| English | Large deviations and fast simulation in the presence of boundaries. |
scientific article; zbMATH DE number 2233710 |
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Large deviations and fast simulation in the presence of boundaries. (English)
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29 November 2005
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buffer overflow
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exponential change of measure
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filtered Monte Carlo
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importance sampling
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Lévy process
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local time
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queueing theory
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rare event
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reflection
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regenerative process
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saddlepoint
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0.8107404112815857
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0.8098642826080322
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0.805162250995636
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0.805162250995636
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