Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors

Annals of Applied Probability

Volumn 12, Issue 1, 2002, Pages 382-421

  Collamore, J F ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Convex analysis; Harris recurrent Markov chains; Hitting probabilities; Large deviations; Monte Carlo methods; Rare event simulation

Indexed keywords

EID: 0036101916     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015961169     Document Type: Article

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