Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary

DOI10.1080/15326340600820489zbMath1136.65010OpenAlexW2139547852MaRDI QIDQ5446503

A. B. Dieker, M. R. H. Mandjes

Publication date: 6 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600820489

zbMATH Keywords

importance samplingasymptotic efficiencylarge deviationsvariance reductionrandom walkpath-level twistingstep-level twisting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

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An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes

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