Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation-Reference-Cited by-同舟云学术

Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation

Published:2018-06-04 Issue:1 Volume:21 Page:125-153
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Boxma O. J.,Cahen E. J.,Koops D.,Mandjes M.

Funder

NWO

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11009-018-9644-1/fulltext.html

Reference24 articles.

1. Asmussen S, Glynn P (2007) Stochastic simulation. Springer, New York

2. Asmussen S, Kortschak D (2015) Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Methodol Comput Appl Probab 17:441–461

3. Asmussen S, Nielsen H (1995) Ruin probabilities via local adjustment coefficients. J Appl Probab 33:736–755

4. Bahadur R, Rao RR (1960) On deviations of the sample mean. Ann Math Stat 31:1015–1027

5. Blanchet J, Leder K, Glynn P (2008) Strongly efficient algorithms for light-tailed random walks: an old folk song sung to a faster new tune. In: L’Ecuyer P, Owen A (eds) Proceedings of the Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2008). Springer, Berlin, pp 227–248

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