Efficient rare event simulation for heavy-tailed compound sums

DOI10.1145/1899396.1899397zbMath1384.62027OpenAlexW2050969304MaRDI QIDQ4635168

Chenxin Li, Jose H. Blanchet

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1899396.1899397

zbMATH Keywords

importance samplingrare eventsLyapunov inequalitiesstrong efficiencysubexponential tailscompound sums

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Markov processes: estimation; hidden Markov models (62M05)

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