Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
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Publication:5169731
DOI10.1239/jap/1402578630zbMath1291.65014arXiv1211.2207OpenAlexW2962818685MaRDI QIDQ5169731
Henrik Hult, Thorbjörn Gudmundsson
Publication date: 11 July 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.2207
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)
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