Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
Work
Year: 2012
Type: article
Authors José Blanchet, Jingchen Liu
Institution Columbia University
Cites: 52
Cited by: 16
Related to: 10
FWCI: 3.641
Citation percentile (by year/subfield): 75.81
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze