Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
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
numerical examplesMonte Carlo algorithmcentral limit theoremheavy-tailed distributionchange of measureconditional distributionMonte Carlo estimatorsrare-event simulation
Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)
Related Items (6)
Cites Work
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