Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
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Publication:2854076
DOI10.1239/jap/1378401231zbMath1282.65025arXiv1203.0817OpenAlexW2074851174MaRDI QIDQ2854076
Ankush Agarwal, Sandeep Juneja, Santanu S. Dey
Publication date: 17 October 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.0817
algorithmimportance samplingMonte Carlo methodlarge deviationsnumerical experimentrare event simulationsaddle-point approximationFourier inversionexponential twisting method
Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Large deviations (60F10)
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