Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
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Publication:4906511
DOI10.1239/aap/1354716593zbMath1269.65011OpenAlexW2154061545MaRDI QIDQ4906511
Hock Peng Chan, Tze Leung Lai, Shaojie Deng
Publication date: 28 February 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1354716593
importance samplingrandom walksheavy-tailed distributionrare-event simulationsequential Monte Carlo methodefficient simulationregularly varying tailDoobs \(h\)-transformWeibull and log-normal distributions
Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)
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