Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
Work
Year: 2012
Type: article
Abstract: We introduce a new approach to simulating rare events for Markov random walks with heavy-tailed increments. This approach involves sequential importance sampling and resampling, and uses a martingale ... more
Source: Advances in Applied Probability
Institutions National University of Singapore, Microsoft Research (United Kingdom), Stanford University
Cites: 27
Cited by: 9
Related to: 10
FWCI: 2.548
Citation percentile (by year/subfield): 75.81
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: bronze