Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
From MaRDI portal
Publication:436303
DOI10.1016/j.spa.2012.05.001zbMath1248.65016arXiv1006.2808MaRDI 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
numerical examples; Monte Carlo algorithm; central limit theorem; heavy-tailed distribution; change of measure; conditional distribution; Monte Carlo estimators; rare-event simulation
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
60G50: Sums of independent random variables; random walks
60F17: Functional limit theorems; invariance principles
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