Simulating level-crossing probabilities by importance sampling

DOI10.2307/1427716zbMath0779.65003OpenAlexW2051155093MaRDI QIDQ4024521

Tapani Lehtonen, Harri Nyrhinen

Publication date: 4 February 1993

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427716

zbMATH Keywords

importance samplingMonte Carlo simulationlarge deviationslevel-crossing probabilityoptimal simulation distributionruin risk probability

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Probabilistic methods, stochastic differential equations (65C99)

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