Efficient rare-event simulation for perpetuities
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Publication:449227
DOI10.1016/j.spa.2012.05.002zbMath1254.65019arXiv1201.3419MaRDI QIDQ449227
Henry Lam, Bert Zwart, Jose H. Blanchet
Publication date: 12 September 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.3419
Markov chains; numerical examples; perpetuities; tail asymptotics; Lyapunov inequalities; state-dependent importance sampling
60J22: Computational methods in Markov chains
62F10: Point estimation
62D05: Sampling theory, sample surveys
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Importance sampling of heavy-tailed iterated random functions, Rare event simulation for processes generated via stochastic fixed point equations
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