Brownian meanders, importance sampling and unbiased simulation of diffusion extremes

DOI10.1016/j.orl.2012.09.010zbMath1257.62086MaRDI QIDQ1939714

Nan Chen, Zheng-Yu Huang

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.09.010

zbMATH Keywords

importance sampling; extreme values; stochastic differential equations; exact simulations

Mathematics Subject Classification ID

62G32: Statistics of extreme values; tail inference

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

Related Items

Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes, \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders, Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection

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