State-independent Importance Sampling for Random Walks with Regularly Varying Increments (Q5247112)
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scientific article; zbMATH DE number 6429279
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | State-independent Importance Sampling for Random Walks with Regularly Varying Increments |
scientific article; zbMATH DE number 6429279 |
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23 April 2015
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random walks
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state-independent importance sampling
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large deviation probabilities
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level crossing probabilities
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rare-event simulation
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heavy-tails
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single-server queue
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insurance ruin
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math.PR
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q-fin.CP
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