scientific article; zbMATH DE number 879791

MaRDI QIDQ4878849zbMATH OpenFDO

Authors Søren Asmussen, Reuven Y. Rubinstein

Publication date 16 June 1996

zbMATH Keywords

exponential change of measureimportance sampling

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99) Queues and service in operations research (90B22)

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(24)

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• Optimization of computer simulation models with rare events
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• A note on martingale inequalities for fluid models
• Rate-tilting for fast simulation of level/phase processes
• Risk and duality in multidimensions
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Balanced importance resampling for Markov chains
• Performance analysis with truncated heavy-tailed distributions
• Efficient simulation of finite horizon problems in queueing and insurance risk
• Editorial: rare-event simulation for queues
• Importance sampling simulations of Markovian reliability systems using cross-entropy
• Large deviations and fast simulation in the presence of boundaries.
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• Rare event simulation for steady-state probabilities via recurrency cycles
• Improved algorithms for rare event simulation with heavy tails
• On asymptotically efficient simulation of large deviation probabilities
• Tail asymptotics for M/G/1-type queueing processes with light-tailed increments
• The cross-entropy method with patching for rare-event simulation of large Markov chains
• A combined splitting-cross entropy method for rare-event probability estimation of queueing networks

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