Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks

DOI10.1016/J.SPA.2012.05.001zbMath1248.65016arXiv1006.2808OpenAlexW1986635170MaRDI QIDQ436303

Jose H. Blanchet, Jingchen Liu

Publication date: 20 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2808

zbMATH Keywords

numerical examplesMonte Carlo algorithmcentral limit theoremheavy-tailed distributionchange of measureconditional distributionMonte Carlo estimatorsrare-event simulation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Related Items (6)

State-independent Importance Sampling for Random Walks with Regularly Varying Increments ⋮ Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin ⋮ Efficient rare event simulation for heavy-tailed systems via cross entropy ⋮ A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails ⋮ On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields ⋮ Efficient Rare Event Simulation for Failure Problems in Random Media

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