Efficient rare-event simulation for perpetuities (Q449227)
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scientific article; zbMATH DE number 6081495
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| English | Efficient rare-event simulation for perpetuities |
scientific article; zbMATH DE number 6081495 |
Statements
Efficient rare-event simulation for perpetuities (English)
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12 September 2012
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state-dependent importance sampling
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perpetuities
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tail asymptotics
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Lyapunov inequalities
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Markov chains
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numerical examples
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0.800730288028717
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0.7921160459518433
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0.7833899855613708
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0.7802770733833313
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0.7802596092224121
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