State-independent importance sampling for random walks with regularly varying increments
We develop importance sampling based efficient simulation techniques for three commonly encountered rare event probabilities associated with random walks having i.i.d. regularly varying increments; namely, 1) the large deviation probabilities, 2) the level crossing probabilities, and 3) the level cr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2015-03-01
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| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=114&layout=abstract |