Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations

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

zbMATH Keywords

algorithmimportance samplingMonte Carlo methodlarge deviationsnumerical experimentrare event simulationsaddle-point approximationFourier inversionexponential twisting method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Large deviations (60F10)

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