Rare-event simulation for the hitting time of Gaussian processes

DOI10.1007/978-3-030-66471-8_45MaRDI QIDQ832139zbMATH OpenOpenAlexFDO

Authors Michele Pagano, Oleg V. Lukashenko

Publication date 25 March 2022

Full work available at URL https://doi.org/10.1007/978-3-030-66471-8_45

zbMATH Keywords

Gaussian processeshitting timebridge processconditional Monte Carlorandom threshold

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• A storage model with self-similar input
• Counterexamples in importance sampling for large deviations probabilities
• Distribution of maximum loss of fractional Brownian motion with drift
• Fast simulation of rare events in queueing and reliability models
• On tail probabilities and first passage times for fractional Brownian motion
• On the Use of a Bridge Process in a Conditional Monte Carlo Simulation of Gaussian Queues

Cited in

(2)

• Hitting times for Gaussian processes
• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes

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