Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations

DOI10.1145/2517451zbMath1358.60078OpenAlexW2063002075MaRDI QIDQ2828125

Henrik Hult, Kevin Leder, Jose H. Blanchet

Publication date: 24 October 2016

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2517451

zbMATH Keywords

importance samplingheavy tailsstochastic recurrence equations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Renewal theory (60K05)

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