Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion

DOI10.3150/bj/1155735931zbMath1125.62085OpenAlexW1985675044MaRDI QIDQ850766

Barbara Pacchiarotti, Paolo Baldi

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1155735931

zbMATH Keywords

importance samplingGaussian processesreproducing kernel Hilbert spaceruin probabilities

Mathematics Subject Classification ID

Related Items (5)

Optimal importance sampling for continuous Gaussian fields ⋮ Large deviation estimates of the crossing probability for pinned Gaussian processes ⋮ Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes ⋮ Large deviations of conditioned diffusions and applications ⋮ Large deviations for conditionally Gaussian processes: estimates of level crossing probability

Cites Work

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• Counterexamples in importance sampling for large deviations probabilities
• Extremes of a certain class of Gaussian processes
• On Monte Carlo estimation of large deviations probabilities
• Limits of first passage times to rare sets in regenerative processes
• Weak convergence and empirical processes. With applications to statistics
• On tail probabilities and first passage times for fractional Brownian motion
• Large deviations and overflow probabilities for the general single-server queue, with applications

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