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Lyapunov inequalities 1 Markov chains 1 Perpetuities 1 State-dependent importance sampling 1 Tail asymptotics 1
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Blanchet, Jose 1 Lam, Henry 1 Zwart, Bert 1
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Stochastic Processes and their Applications 1
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Efficient rare-event simulation for perpetuities
Blanchet, Jose; Lam, Henry; Zwart, Bert - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3361-3392
squared error as the tail probability of interest gets smaller). Then, we construct estimators based on state-dependent … importance sampling that are rigorously shown to be efficient. …
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