State-dependent importance sampling for regularly varying random walks
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Publication:3603200
DOI10.1239/AAP/1231340166zbMATH Open1159.60022OpenAlexW2044829335MaRDI QIDQ3603200FDOQ3603200
Authors:
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
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Extreme value theory; extremal stochastic processes (60G70) Analysis of algorithms (68W40) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)
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Cited In (36)
- Simulating risk measures via asymptotic expansions for relative errors
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Importance sampling for sums of random variables with regularly varying tails
- Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
- State-independent importance sampling for random walks with regularly varying increments
- Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- Rare event simulation for processes generated via stochastic fixed point equations
- Alternative proof and interpretations for a recent state-dependent importance sampling scheme
- On the generalization of the hazard rate twisting-based simulation approach
- Rare event simulation of small noise diffusions
- Efficient rare-event simulation for perpetuities
- Heavy-tailed random walks, buffered queues and hidden large deviations
- Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- Efficient rare event simulation for failure problems in random media
- Quantitative differentiation: a general formulation
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- Importance sampling for a simple Markovian intensity model using subsolutions
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
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- On importance sampling with mixtures for random walks with heavy tails
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- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
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