Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Work
Year: 2019
Type: article
Abstract: We propose a class of strongly efficient rare-event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large d... more
Cites: 27
Cited by: 22
Related to: 10
FWCI: 2.102
Citation percentile (by year/subfield): 91.1
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green