Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks

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Publication:436303

DOI10.1016/J.SPA.2012.05.001zbMath1248.65016arXiv1006.2808OpenAlexW1986635170MaRDI QIDQ436303

Jose H. Blanchet, Jingchen Liu

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2808




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