Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303)
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scientific article; zbMATH DE number 6059070
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| English | Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
scientific article; zbMATH DE number 6059070 |
Statements
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (English)
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20 July 2012
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conditional distribution
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heavy-tailed distribution
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change of measure
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rare-event simulation
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numerical examples
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Monte Carlo estimators
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Monte Carlo algorithm
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central limit theorem
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0.8168097138404846
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0.8114349842071533
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0.8114349842071533
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0.8097029328346252
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