On asymptotically efficient simulation of large deviation probabilities
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Publication:5694157
DOI10.1239/aap/1118858638zbMath1073.60025OpenAlexW2162501664MaRDI QIDQ5694157
A. B. Dieker, M. R. H. Mandjes
Publication date: 29 September 2005
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1118858638
Monte Carlo methods (65C05) Large deviations (60F10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)
Related Items (7)
State-independent Importance Sampling for Random Walks with Regularly Varying Increments ⋮ Efficient large deviation estimation based on importance sampling ⋮ Large deviation theory for a homogenized and ``corrected elliptic ODE ⋮ Excessive backlog probabilities of two parallel queues ⋮ Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary ⋮ Rare event simulation for T-cell activation ⋮ Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
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