State-dependent importance sampling for regularly varying random walks
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Publication:3603200
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- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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Cited in
(36)- Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
- Importance sampling for a simple Markovian intensity model using subsolutions
- State-independent importance sampling for random walks with regularly varying increments
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Importance sampling for metastable and multiscale dynamical systems
- Moderate deviation principles for importance sampling estimators of risk measures
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Rare event simulation of small noise diffusions
- Efficient exponential tilting with applications
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- On importance sampling with mixtures for random walks with heavy tails
- Heavy-tailed random walks, buffered queues and hidden large deviations
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- Alternative proof and interpretations for a recent state-dependent importance sampling scheme
- Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
- A simulation-based method for estimating systemic risk measures
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- The sample size required in importance sampling
- Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
- On the generalization of the hazard rate twisting-based simulation approach
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Importance sampling of heavy-tailed iterated random functions
- Rare event simulation for processes generated via stochastic fixed point equations
- Efficient rare event simulation for failure problems in random media
- Quantitative differentiation: a general formulation
- Rare-event simulation for neural network and random forest predictors
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- Simulating risk measures via asymptotic expansions for relative errors
- Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
- Efficient rare-event simulation for perpetuities
- Importance sampling for sums of random variables with regularly varying tails
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Efficient importance sampling for binary contingency tables
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