Some recent advances in stochastic simulation

DOI10.3969/J.ISSN.1001-4268.2016.03.001MaRDI QIDQ3180019zbMATH OpenFDO

Authors Chia-Li Wang

Publication date 6 January 2017

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2016.03.001

zbMATH Keywords

conditional estimatorscontrol variatesexponential change of measureimportance samplinglogarithmic efficiencyruin probability

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Extreme value theory; extremal stochastic processes (60G70) Queueing theory (aspects of probability theory) (60K25)

Recommendations

• Stochastic simulation: Algorithms and analysis
• Editorial: rare-event simulation for queues
• scientific article; zbMATH DE number 5560392
• Some recent results in rare event estimation
• Importance Sampling for Stochastic Simulations

This page was built for publication: Some recent advances in stochastic simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3180019)