State-independent Importance Sampling for Random Walks with Regularly Varying Increments
DOI10.1214/13-SSY114zbMath1319.60094arXiv1206.3390MaRDI QIDQ5247112
Sandeep Juneja, Karthyek R. A. Murthy, Jose H. Blanchet
Publication date: 23 April 2015
Full work available at URL: https://arxiv.org/abs/1206.3390
random walksheavy-tailssingle-server queuerare-event simulationlarge deviation probabilitieslevel crossing probabilitiesinsurance ruinstate-independent importance sampling
Analysis of algorithms (68W40) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Queueing theory (aspects of probability theory) (60K25) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Large deviations (60F10)
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