scientific article; zbMATH DE number 1790422

zbMATH Open0998.60024MaRDI QIDQ4549487FDOQ4549487

Authors: Søren Asmussen 

Publication date: 25 November 2002

Title of this publication is not available (Why is that?)

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zbMATH Keywords

importance samplingheavy-tailed distributionsexponential change of measurereflecting barrierslarge deviations calculations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10)

Cited In (7)

• Importance Sampling, Large Deviations, and Differential Games
• An iterative stochastic method for simulating large deviations and rare events
• Instantons for rare events in heavy-tailed distributions
• Introduction to rare event simulation.
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• Title not available (Why is that?)
• Small variance estimators for rare event probabilities

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