Introduction to rare event simulation.

Publication date: 4 October 2004

Published in: Springer Series in Statistics (Search for Journal in Brave)

textbook queueing systems random number generation rare event simulation large deviation theory variance reduction technique importance sampling estimations sequence of \(R\)-valued random variables

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Queueing theory (aspects of probability theory) (60K25) Large deviations (60F10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Random number generation in numerical analysis (65C10) Analysis of variance and covariance (ANOVA) (62J10)

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