Efficient rare-event simulation for perpetuities-Reference-Cited by-同舟云学术

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Efficient rare-event simulation for perpetuities

Published:2012-10 Issue:10 Volume:122 Page:3361-3392
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Blanchet Jose,Lam Henry,Zwart Bert

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference27 articles.

1. R. Adler, J. Blanchet, J.C. Liu, Fast Simulation of Gaussian Random Fields with High Excursions, 2010, Preprint.

2. Ruin Probabilities;Asmussen,2000

3. Applied Probability and Queues;Asmussen,2003

4. Stochastic Simulation: Algorithms and Analysis;Asmussen,2008

5. Ruin probabilities via local adjustment coefficients;Asmussen;J. Appl. Probab.,1995

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1. Overconservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation;Management Science;2023-11-23

2. Rare-event Simulation for Neural Network and Random Forest Predictors;ACM Transactions on Modeling and Computer Simulation;2022-07-06

3. Importance sampling for maxima on trees;Stochastic Processes and their Applications;2022-06

4. Importance sampling of heavy-tailed iterated random functions;Advances in Applied Probability;2018-09

5. Rare event simulation for processes generated via stochastic fixed point equations;The Annals of Applied Probability;2014-10-01

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