Large deviations and fast simulation in the presence of boundaries.
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Publication:2574516
DOI10.1016/S0304-4149(02)00152-7zbMath1075.60576MaRDI QIDQ2574516
Soren Asmussen, Manfred Jobmann, Hans-Peter Schwefel, Pascal Fuckerieder
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
reflection; importance sampling; local time; regenerative process; Lévy process; queueing theory; exponential change of measure; rare event; buffer overflow; saddlepoint; filtered Monte Carlo
60J25: Continuous-time Markov processes on general state spaces
60K25: Queueing theory (aspects of probability theory)
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Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary, Estimation of the realized (co-)volatility vector: large deviations approach
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