Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes (Q3014986)
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scientific article; zbMATH DE number 5918595
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| English | Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes |
scientific article; zbMATH DE number 5918595 |
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Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes (English)
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8 July 2011
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importance sampling
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rare-event simulation
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Gaussian process
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large deviations
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fractional Brownian noise
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Monte Carlo method
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target bridge sampler
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numerical experiments
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0.7500330209732056
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0.7427640557289124
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0.7293443083763123
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0.7289696931838989
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