Efficient importance sampling in ruin problems for multidimensional regularly varying random walks (Q3578666)
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scientific article; zbMATH DE number 5758471
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| English | Efficient importance sampling in ruin problems for multidimensional regularly varying random walks |
scientific article; zbMATH DE number 5758471 |
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Efficient importance sampling in ruin problems for multidimensional regularly varying random walks (English)
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20 July 2010
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state dependent
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importance sampling
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regularly varying
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random walk
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heavy tail
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strong efficiency
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rare-event simulation
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mixture family
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multidimension
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0.8281610012054443
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0.8216050267219543
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0.8132208585739136
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0.8083271384239197
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