State-dependent importance sampling for regularly varying random walks
نویسندگان
چکیده
منابع مشابه
State-dependent Importance Sampling for Regularly Varying Random Walks
Consider a sequence (Xk : k ≥ 0) of regularly varying independent and identically distributed random variables with mean 0 and finite variance. We develop efficient rare-event simulation methodology associated with large deviation probabilities for the random walk (Sn : n ≥ 0). Our techniques are illustrated by examples, including large deviations for the empirical mean and path-dependent event...
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We develop state-independent importance sampling based efficient simulation techniques for two commonly encountered rare event probabilities associated with random walk (Sn : n ≥ 0) having i.i.d. regularly varying heavy-tailed increments; namely, the level crossing probabilities when the increments of Sn have a negative mean, and the the large deviation probabilities P{Sn > b}, as both n and b ...
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We consider the problem of efficient estimation via simulation of first passage time probabilities for a multidimensional random walk with heavy-tailed increments. In addition to being a natural generalization to the problem of computing ruin probabilities in insurance—in which the focus is the maximum of a one-dimensional random walk with negative drift—this problem captures important features...
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We consider the problem of e¢ cient estimation via simulation of rst passage time probabilities for a multidimensional random walk with regularly varying increments. In addition of being a natural generalization of the problem of computing ruin probabilities in insurance in which the focus is a one dimensional random walk this problem captures important features of large deviations for multi...
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We consider the problem of sampling paths of a random walk up to the first time it crosses a fixed barrier, in the setting where the step sizes are iid with negative mean and have a regularly varying right tail. We study the efficiency of an AcceptanceRejection-type of simulation algorithm that is based on the change of measure proposed by Blanchet and Glynn [9]. We show that this algorithm is ...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2008
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1231340166