Efficient rare-event simulation for perpetuities
type: Item
instance of: scholarly article
title: Efficient rare-event simulation for perpetuities
zbMATH Open document ID: 1254.65019
author: Jose Blanchet
author: Henry Lam
author: Bert Zwart
published in: Stochastic Processes and their Applications
publication date: 2012-09-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1201.3419
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 62D05
Mathematics Subject Classification ID: 62F10
zbMATH DE Number: 6081495
zbMATH Keywords: state-dependent importance sampling
zbMATH Keywords: perpetuities
zbMATH Keywords: tail asymptotics
zbMATH Keywords: Lyapunov inequalities
zbMATH Keywords: Markov chains
zbMATH Keywords: numerical examples
MaRDI profile type: Publication
OpenAlex ID: W2593887383
arXiv ID: 1201.3419
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DOI: 10.1016/J.SPA.2012.05.002
description: scientific article; zbMATH DE number 6081495