Efficient rare-event simulation for perpetuities

DOI10.1016/j.spa.2012.05.002zbMath1254.65019arXiv1201.3419OpenAlexW2593887383MaRDI QIDQ449227

Henry Lam, Bert Zwart, Jose H. Blanchet

Publication date: 12 September 2012

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

Full work available at URL: https://arxiv.org/abs/1201.3419

zbMATH Keywords

Markov chainsnumerical examplesperpetuitiestail asymptoticsLyapunov inequalitiesstate-dependent importance sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Sampling theory, sample surveys (62D05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Importance sampling for maxima on trees ⋮ Importance sampling of heavy-tailed iterated random functions ⋮ Rare event simulation for processes generated via stochastic fixed point equations

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