On Monte Carlo estimation of large deviations probabilities
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Publication:1814744
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Cites work
- scientific article; zbMATH DE number 410740 (Why is no real title available?)
- scientific article; zbMATH DE number 3766893 (Why is no real title available?)
- Computing bit-error probabilities for avalanche photodiode receivers by large deviations theory
- Conjugate processes and the simulation of ruin problems
- Importance sampling in the Monte Carlo study of sequential tests
- Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
- Markov additive processes. I: Eigenvalue properties and limit theorems
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- New importance sampling methods for simulating sequential decoders
- 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
- Simulating level-crossing probabilities by importance sampling
Cited in
(27)- An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
- State-independent importance sampling for random walks with regularly varying increments
- Large deviations for weighted empirical measures arising in importance sampling
- Exact asymptotics of sample-mean-related rare-event probabilities
- Asymptotically efficient importance sampling for bootstrap
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Systemic risk and default clustering for large financial systems
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals
- RARE EVENT SIMULATION
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- Counterexamples in importance sampling for large deviations probabilities
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Monte carlo approximation to edgeworth expansions
- Some recent results in rare event estimation
- On asymptotically efficient simulation of large deviation probabilities
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- Computable exponential bounds for screened estimation and simulation
- Conditional Importance Sampling Estimators
- A cross-entropy scheme for mixtures
- Effective branching splitting method under cost constraint
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Dynamic importance sampling for uniformly recurrent Markov chains
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