On asymptotically efficient simulation of large deviation probabilities
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Cites work
- scientific article; zbMATH DE number 1076323 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 194664 (Why is no real title available?)
- scientific article; zbMATH DE number 879791 (Why is no real title available?)
- Analysis of an importance sampling estimator for tandem queues
- Applied Probability and Queues
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Counterexamples in importance sampling for large deviations probabilities
- FAST SIMULATION OF A QUEUE FED BY A SUPERPOSITION OF MANY (HEAVY-TAILED) SOURCES
- Fast simulation of overflow probabilities in a queue with Gaussian input
- Fast simulation of rare events in queueing and reliability models
- Importance Sampling, Large Deviations, and Differential Games
- Importance sampling for portfolio credit risk
- Importance sampling in the Monte Carlo study of sequential tests
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Large deviations for exchangeable random vectors
- Large deviations for mixtures
- Martingale problems for large deviations of Markov processes
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- On Monte Carlo estimation of large deviations probabilities
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- On the optimality and stability of exponential twisting in Monte Carlo estimation
- Risk theory in a Markovian environment
- Simulating level-crossing probabilities by importance sampling
- The Asymptotic Efficiency of Simulation Estimators
Cited in
(12)- On large deviations theory and asymptotically efficient Monte Carlo estimation
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- State-independent importance sampling for random walks with regularly varying increments
- Excessive backlog probabilities of two parallel queues
- Efficient large deviation estimation based on importance sampling
- Rare event simulation for T-cell activation
- Rare-event simulation for neural network and random forest predictors
- Large deviation theory for a homogenized and ``corrected elliptic ODE
- Asymptotic simulation efficiency based on large deviations
- Black-box rare-event simulation for safety testing of AI agents: an overview
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Computable exponential bounds for screened estimation and simulation
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