Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary (Q5446503)
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scientific article; zbMATH DE number 5244447
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary |
scientific article; zbMATH DE number 5244447 |
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Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary (English)
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6 March 2008
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variance reduction
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path-level twisting
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step-level twisting
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asymptotic efficiency
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importance sampling
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large deviations
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random walk
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