A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
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Publication:4684917
DOI10.1017/jpr.2017.60zbMath1396.60046arXiv1703.00884OpenAlexW2592552903MaRDI QIDQ4684917
Publication date: 26 September 2018
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.00884
efficiencylikelihood ratiorandom walkchange of measureheavy tailconditional samplingperfect samplingregularly varying tail
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