Rare event simulation for processes generated via stochastic fixed point equations
type: Item
instance of: scholarly article
title: Rare event simulation for processes generated via stochastic fixed point equations
zbMATH Open document ID: 1316.65015
DOI: 10.1214/13-AAP974
author: Jeffrey F. Collamore
author: Guoqing Diao
author: Anand N. Vidyashankar
published in: The Annals of Applied Probability
publication date: 2014-09-25T00:00:00Z
full work available at URL: https://arxiv.org/abs/1107.3284
full work available at URL: https://projecteuclid.org/euclid.aoap/1403812372
review text: A simulation algorithm of estimating the tail probability of a random variable \(V\), satisfying an equation \(V = f(V)\) in the sense of distribution, is considered, where \(f(v)=A\max(v,D)+B\), \(A,B,D\) are random variables. The stochastic fixed point problem in the sense of law typically comes from, for instance, the financial time series, the ruin problem with stochastic investments, ARCH(1) and so on. A dynamic importance sampling estimator is given, which is shown to be consistent, strongly efficient and optimal. The running time of the algorithm is described. Numerical examples are discussed.
Mathematics Subject Classification ID: 65C50
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H25
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 60K15
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 6347600
zbMATH Keywords: Monte Carlo methods
zbMATH Keywords: importance sampling
zbMATH Keywords: large deviation
zbMATH Keywords: nonlinear renewal theory
zbMATH Keywords: Harris recurrent Markov chains
zbMATH Keywords: first entrance times
zbMATH Keywords: last exit times
zbMATH Keywords: regeneration times
zbMATH Keywords: financial time series
zbMATH Keywords: ARCH processes
zbMATH Keywords: risk theory
zbMATH Keywords: ruin theory with stochastic invesments
reviewed by: Gong Guanglu
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 6347600