Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
From MaRDI portal
Publication:3481001
DOI10.2307/3214594zbMath0702.60028OpenAlexW1991873304MaRDI QIDQ3481001
Peter Ney, James Antonio Bucklew, John S. Sadowsky
Publication date: 1990
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3214594
Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Large deviations (60F10)
Related Items (22)
Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors ⋮ Asymptotically efficient importance sampling for bootstrap ⋮ Some Recent Results in Rare Event Estimation ⋮ A class of optimum importance sampling strategies ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ The cross-entropy method with patching for rare-event simulation of large Markov chains ⋮ On asymptotically efficient simulation of ruin probabilities in a Markovian environment ⋮ Refined behaviour of a conditioned random walk in the large deviations regime ⋮ Efficient large deviation estimation based on importance sampling ⋮ Twisted particle filters ⋮ On asymptotically efficient simulation of large deviation probabilities ⋮ A sequential Monte Carlo approach to computing tail probabilities in stochastic models ⋮ Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities ⋮ A note on random walks with absorbing barriers and sequential Monte Carlo methods ⋮ Efficient simulation of finite horizon problems in queueing and insurance risk ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ On Monte Carlo estimation of large deviations probabilities ⋮ A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain ⋮ Optimization of computer simulation models with rare events ⋮ Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations ⋮ Large deviations and fast simulation in the presence of boundaries. ⋮ Robust queueing theory: an initial study using imprecise probabilities
This page was built for publication: Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
