Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes (Q3014986)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes |
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Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes (English)
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8 July 2011
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importance sampling
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rare-event simulation
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Gaussian process
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large deviations
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fractional Brownian noise
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Monte Carlo method
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target bridge sampler
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numerical experiments
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