On importance sampling with mixtures for random walks with heavy tails

DOI10.1145/2133390.2133392zbMath1386.65029arXiv0909.3333OpenAlexW2073951051MaRDI QIDQ4635184

Jens Svensson, Henrik Hult

Publication date: 16 April 2018

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

Full work available at URL: https://arxiv.org/abs/0909.3333

zbMATH Keywords

importance samplingrandom walksheavy tailsrare event simulation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Sums of independent random variables; random walks (60G50)

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