Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk

DOI10.1239/jap/1402578630zbMath1291.65014arXiv1211.2207OpenAlexW2962818685MaRDI QIDQ5169731

Henrik Hult, Thorbjörn Gudmundsson

Publication date: 11 July 2014

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

Full work available at URL: https://arxiv.org/abs/1211.2207

zbMATH Keywords

Markov chain Monte Carlorandom walkheavy tailrare-event simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)

Related Items (3)

New efficient estimators in rare event simulation with heavy tails ⋮ Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes ⋮ A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails

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