Rare-event simulation for the hitting time of Gaussian processes

DOI10.1007/978-3-030-66471-8_45zbMath1490.60080OpenAlexW3119496237MaRDI QIDQ832139

Michele Pagano, Oleg V. Lukashenko

Publication date: 25 March 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-66471-8_45

zbMATH Keywords

Gaussian processeshitting timebridge processconditional Monte Carlorandom threshold

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18)

Cites Work

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• On the Use of a Bridge Process in a Conditional Monte Carlo Simulation of Gaussian Queues
• Fast simulation of rare events in queueing and reliability models

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