scientific article; zbMATH DE number 1790422

MaRDI QIDQ4549487zbMATHFDO

Authors Søren Asmussen

Publication date 25 November 2002

zbMATH Keywords

importance samplingheavy-tailed distributionsexponential change of measurereflecting barrierslarge deviations calculations

Mathematics Subject Classification ID

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

Recommendations

• Counterexamples in importance sampling for large deviations probabilities
• Small variance estimators for rare event probabilities
• Importance sampling in rare event simulation
• Introduction to rare event simulation.
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Cited in

(8)

• scientific article; zbMATH DE number 7232745 (Why is no real title available?)
• Small variance estimators for rare event probabilities
• Importance Sampling, Large Deviations, and Differential Games
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• An iterative stochastic method for simulating large deviations and rare events
• Instantons for rare events in heavy-tailed distributions
• Introduction to rare event simulation.
• Numerical computation of rare events via large deviation theory

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