Efficient rare-event simulation for the maximum of heavy-tailed random walks (Q939072)
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scientific article
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| English | Efficient rare-event simulation for the maximum of heavy-tailed random walks |
scientific article |
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Efficient rare-event simulation for the maximum of heavy-tailed random walks (English)
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20 August 2008
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state-dependent importance sampling
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rare-event simulation
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heavy-tails
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Lyapunov bounds
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random walks
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single-server queue
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change-of-measure
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0.8644671440124512
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0.8642653822898865
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0.8622418642044067
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0.8611958026885986
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0.8549458384513855
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