State-dependent importance sampling for regularly varying random walks
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Publication:3603200
DOI10.1239/aap/1231340166zbMath1159.60022OpenAlexW2044829335MaRDI QIDQ3603200
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Publication date: 16 February 2009
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1231340166
Analysis of algorithms (68W40) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)
Related Items (23)
The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ The sample size required in importance sampling ⋮ Efficient importance sampling for binary contingency tables ⋮ State-independent Importance Sampling for Random Walks with Regularly Varying Increments ⋮ Simulating risk measures via asymptotic expansions for relative errors ⋮ A simulation-based method for estimating systemic risk measures ⋮ Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ On the generalization of the hazard rate twisting-based simulation approach ⋮ Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks ⋮ Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin ⋮ Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling ⋮ Quantitative Differentiation: A General Formulation ⋮ Rare Event Simulation of Small Noise Diffusions ⋮ Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk ⋮ Efficient importance sampling in ruin problems for multidimensional regularly varying random walks ⋮ Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields ⋮ Moderate deviation principles for importance sampling estimators of risk measures ⋮ Heavy-tailed random walks, buffered queues and hidden large deviations ⋮ On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ Efficient Rare Event Simulation for Failure Problems in Random Media
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