Simulating level-crossing probabilities by importance sampling
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Publication:4024521
DOI10.2307/1427716zbMath0779.65003MaRDI QIDQ4024521
Harri Nyrhinen, Tapani Lehtonen
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
importance sampling; Monte Carlo simulation; large deviations; level-crossing probability; optimal simulation distribution; ruin risk probability
65C05: Monte Carlo methods
60F10: Large deviations
65C99: Probabilistic methods, stochastic differential equations
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