Computable exponential bounds for screened estimation and simulation

DOI10.1214/00-AAP492zbMath1255.60016arXivmath/0612040OpenAlexW2093255560MaRDI QIDQ939078

Sean P. Meyn, Ioannis Kontoyiannis

Publication date: 20 August 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612040

zbMATH Keywords

estimationsimulationMonte Carlolarge deviationsvariance reductionmeasure concentrationcomputable bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Combinatorial probability (60C05) Large deviations (60F10) Foundations of stochastic processes (60G05)

Cites Work

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• Sanov property, generalized I-projection and a conditional limit theorem
• Large deviations of heavy-tailed sums with applications in insurance
• Probability
• Monte Carlo strategies in scientific computing

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