Efficient rare-event simulation for perpetuities
نویسندگان
چکیده
منابع مشابه
Efficient Rare-event Simulation for Perpetuities
We consider perpetuities of the form D = B1 exp (Y1) +B2 exp (Y1 + Y2) + ..., where the Yj ’s and Bj ’s might be i.i.d. or jointly driven by a suitable Markov chain. We assume that the Yj ’s satisfy the so-called Cramér condition with associated root θ∗ ∈ (0,∞) and that the tails of the Bj ’s are appropriately behaved so that D is regularly varying with index θ∗. We illustrate by means of an ex...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.05.002