Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes-Reference-Cited by-同舟云学术

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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Published:2019-08 Issue:3 Volume:44 Page:919-942
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Chen Bohan¹^ORCID,Blanchet Jose²^ORCID,Rhee Chang-Han³^ORCID,Zwart Bert⁴^ORCID

Affiliation:

1. Stochastics Group, Centrum Wiskunde & Informatica, 1098 XG Amsterdam, Netherlands;

2. Department of Management Science and Engineering, Stanford University, Stanford, California 94306;

3. Department of Engineering and Management Sciences, Northwestern University, Evanston, IL 60208;

4. Centrum Wiskunde & Informatica, Amsterdam 1098 XG, Netherlands

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Reference29 articles.

1. Stochastic Simulation: Algorithms and Analysis

2. Tail probabilities for non-standard risk and queueing processes with subexponential jumps

3. Efficient rare-event simulation for the maximum of heavy-tailed random walks

4. State-dependent importance sampling for regularly varying random walks

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

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