Importance sampling of heavy-tailed iterated random functions

DOI10.1017/apr.2018.37zbMath1431.60068arXiv1609.03182OpenAlexW2963360728MaRDI QIDQ5215026

Chang-Han Rhee, Bohan Chen, Bert Zwart

Publication date: 5 February 2020

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

Full work available at URL: https://arxiv.org/abs/1609.03182

zbMATH Keywords

heavy-tailed distributionperpetuitiesstate-dependent importance samplingiterated random function

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Related Items

Slowly varying asymptotics for signed stochastic difference equations

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