Large deviations and fast simulation in the presence of boundaries.

DOI10.1016/S0304-4149(02)00152-7MaRDI QIDQ2574516zbMATH OpenOpenAlexFDO

Authors Pascal Fuckerieder, Manfred Jobmann, Hans-Peter Schwefel, Søren Asmussen

Publication date 29 November 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(02)00152-7

zbMATH Keywords

buffer overflowexponential change of measurefiltered Monte Carloimportance samplinglocal timeLévy processqueueing theoryrare eventreflectionregenerative processsaddlepoint

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Queueing theory (aspects of probability theory) (60K25)

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Cites work

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• Extreme value theory for queues via cycle maxima
• Fast simulation of rare events in queueing and reliability models
• Filtered Monte Carlo
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• Useful martingales for stochastic storage processes with Lévy input

Cited in

(7)

• Rate-tilting for fast simulation of level/phase processes
• Rare-event analysis and simulation of queues with time-varying rates
• Estimation of the realized (co-)volatility vector: large deviations approach
• Induced rare events: analysis via large deviations and time reversal
• Fast simulation of overflow probabilities in a queue with Gaussian input
• Rare event analysis and efficient simulation for a multi-dimensional ruin problem
• Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary

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