Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
scientific article; zbMATH DE number 6059070
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks |
scientific article; zbMATH DE number 6059070 |
Statements
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (English)
0 references
20 July 2012
0 references
conditional distribution
0 references
heavy-tailed distribution
0 references
change of measure
0 references
rare-event simulation
0 references
numerical examples
0 references
Monte Carlo estimators
0 references
Monte Carlo algorithm
0 references
central limit theorem
0 references
0 references
0 references
0 references
0 references
0 references
0 references
