Counterexamples in importance sampling for large deviations probabilities
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Publication:1371002
DOI10.1214/AOAP/1034801251zbMATH Open0892.60043OpenAlexW2061071876WikidataQ124986348 ScholiaQ124986348MaRDI QIDQ1371002FDOQ1371002
Publication date: 28 October 1997
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034801251
Monte Carlo methods (65C05) Large deviations (60F10) Sums of independent random variables; random walks (60G50)
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Cited In (54)
- Infinite swapping using IID samples
- Rare-event simulation for neural network and random forest predictors
- Importance sampling for option pricing with feedforward neural networks
- Editorial: rare-event simulation for queues
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- Rare-event simulation for the hitting time of Gaussian processes
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- Quantitative Differentiation: A General Formulation
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Risk and duality in multidimensions
- Optimal importance sampling with explicit formulas in continuous time
- Importance Sampling, Large Deviations, and Differential Games
- A Cross-Entropy Scheme for Mixtures
- Importance Sampling for Metastable and Multiscale Dynamical Systems
- Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- Importance sampling algorithms for first passage time probabilities in the infinite server queue
- A Koopman framework for rare event simulation in stochastic differential equations
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Importance sampling for Jackson networks
- Rare-event analysis and simulation of queues with time-varying rates
- Efficient large deviation estimation based on importance sampling
- Quantile estimation with adaptive importance sampling
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Markov chain importance sampling with applications to rare event probability estimation
- On an automatic and optimal importance sampling approach with applications in finance
- Large deviations and fast simulation in the presence of boundaries.
- Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
- Dynamic importance sampling for uniformly recurrent Markov chains
- Title not available (Why is that?)
- Systemic Risk and Default Clustering for Large Financial Systems
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- On asymptotically efficient simulation of large deviation probabilities
- On the Asymptotic Normality of Adaptive Multilevel Splitting
- Numerical computation of rare events via large deviation theory
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
- Importance sampling for McKean-Vlasov SDEs
- Negative examples for sequential importance sampling of binary contingency tables
- Some Recent Results in Rare Event Estimation
- Splitting for rare event simulation: A large deviation approach to design and analysis
- On the Use of a Bridge Process in a Conditional Monte Carlo Simulation of Gaussian Queues
- Adaptive multilevel splitting: Historical perspective and recent results
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- Variational approach to rare event simulation using least-squares regression
- State-dependent importance sampling schemes via minimum cross-entropy
- Moderate deviations-based importance sampling for stochastic recursive equations
- Rare Event Simulation of Small Noise Diffusions
- State-dependent importance sampling for regularly varying random walks
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Escaping from an attractor: Importance sampling and rest points. I.
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