Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields

DOI10.1017/jpr.2021.57zbMath1492.65014OpenAlexW4210867311WikidataQ114118009 ScholiaQ114118009MaRDI QIDQ5086996

Christian Y. Robert, Quang Huy Nguyen

Publication date: 8 July 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2021.57

zbMATH Keywords

exponential integralrare event simulationAsmussen-Kroese estimatorlogarithmically efficient estimators

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Monte Carlo methods (65C05)

Cites Work

• Tail approximations of integrals of Gaussian random fields
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• Stochastic simulation: Algorithms and analysis
• Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields