Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound poisson processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee, Bert Zwart
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Bohan ; Blanchet, Jose ; Rhee, Chang-Han ; Zwart, Bert |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 3, p. 919-942
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| Subject: | rare-event simulation | strong efficiency | regularly varying distribution | principle of multiple big jumps | random walks | compound Poisson processes | large deviations results | Stochastischer Prozess | Stochastic process | Random Walk | Random walk | Simulation | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2018.0950 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012105807