EXACT ASYMPTOTICS OF SAMPLE-MEAN-RELATED RARE-EVENT PROBABILITIES

DOI10.1017/S0269964816000541zbMath1411.60043OpenAlexW2574716029MaRDI QIDQ4629421

Thomas Taimre, J. Kuhn, M. R. H. Mandjes

Publication date: 27 March 2019

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964816000541

zbMATH Keywords

stochastic modelingstochastic dynamic programmingoperations researchapplied probability

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10)

Related Items (1)

Linear stochastic fluid networks: rare-event simulation and Markov modulation

Cites Work

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• Strong large deviation and local limit theorems
• Multidimensional strong large deviation theorems
• Sharp estimates of deviations of the sample mean in many dimensions
• Sharp asymptotics of large deviations in \(\mathbb{R}^ d\)
• Stochastic simulation: Algorithms and analysis
• A unified formulation of the central limit theorem for small and large deviations from the mean
• On Deviations of the Sample Mean
• Large Deviations for Gaussian Queues
• On large deviations theory and asymptotically efficient Monte Carlo estimation

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