Importance sampling for a simple Markovian intensity model using subsolutions

Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Jump processes on general state spaces (60J76)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Importance sampling for Jackson networks
Optimal importance sampling with explicit formulas in continuous time
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Interaction particle systems for the computation of rare credit portfolio losses
Dynamic importance sampling for uniformly recurrent Markov chains
Default clustering in large portfolios: typical events
Quasi-stationary distributions and population processes
Dynamic importance sampling for queueing networks
Genealogical particle analysis of rare events
Stochastic simulation: Algorithms and analysis
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
Importance Sampling for Multiscale Diffusions
Importance Sampling for Portfolio Credit Risk
Importance Sampling for Weighted-Serve-the-Longest-Queue
Affine Point Processes: Approximation and Efficient Simulation
PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
State-dependent importance sampling for regularly varying random walks
Rare Event Simulation using Monte Carlo Methods
Lagrangian flows: The dynamics of globally minimizing orbits
Importance sampling for sums of random variables with regularly varying tails
Efficient rare event simulation for heavy-tailed compound sums
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Importance Sampling, Large Deviations, and Differential Games
Applied Probability and Queues
Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
Default Clustering in Large Pools: Large Deviations
Analysis and Approximation of Rare Events
Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

This page was built for publication: Importance sampling for a simple Markovian intensity model using subsolutions