On Monte Carlo estimation of large deviations probabilities

DOI10.1214/aoap/1034968137zbMath0855.60031OpenAlexW2013985701MaRDI QIDQ1814744

John S. Sadowsky

Publication date: 27 January 1997

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034968137

zbMATH Keywords

Monte Carlo methodslarge deviationscomputer simulations of stochastic systems

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Monte Carlo methods (65C05) Large deviations (60F10)

Related Items (19)

Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors ⋮ The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling ⋮ Asymptotically efficient importance sampling for bootstrap ⋮ RARE EVENT SIMULATION ⋮ Some Recent Results in Rare Event Estimation ⋮ Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ State-independent Importance Sampling for Random Walks with Regularly Varying Increments ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis ⋮ A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling ⋮ On asymptotically efficient simulation of large deviation probabilities ⋮ Minimization of a class of rare event probabilities and buffered probabilities of exceedance ⋮ Effective branching splitting method under cost constraint ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes ⋮ Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary ⋮ Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations ⋮ A Cross-Entropy Scheme for Mixtures

Cites Work

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• Conjugate processes and the simulation of ruin problems
• Importance sampling in the Monte Carlo study of sequential tests
• Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Computing bit-error probabilities for avalanche photodiode receivers by large deviations theory
• Simulating level-crossing probabilities by importance sampling
• On asymptotically efficient simulation of ruin probabilities in a Markovian environment
• On the optimality and stability of exponential twisting in Monte Carlo estimation
• New importance sampling methods for simulating sequential decoders

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