A sequential Monte Carlo approach to computing tail probabilities in stochastic models
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Publication:657700
DOI10.1214/10-AAP758zbMath1246.60042arXiv1202.4582MaRDI QIDQ657700
Publication date: 10 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.4582
large deviations; logarithmic efficiency; exceedance probabilities; sequential importance sampling and resampling
60J22: Computational methods in Markov chains
65C20: Probabilistic models, generic numerical methods in probability and statistics
65C05: Monte Carlo methods
60K35: Interacting random processes; statistical mechanics type models; percolation theory
60F10: Large deviations
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