Strongly efficient estimators for light-tailed sums

ACM International Conference Proceeding Series

Volumn 180, Issue , 2006, Pages

  Blanchet, J ^a   Glynn, P ^a  

^a NONE

Author keywords

Dramer's theorem; Importance sampling; Large deviations; Lyapunov functions; Markov chains; Rare event simulation

Indexed keywords

ALGORITHMS; BOUNDARY CONDITIONS; COMPUTER SIMULATION; GAUSSIAN DISTRIBUTION; PROBLEM SOLVING;

DRAMER'S THEOREM; IMPORTANCE SAMPLING; LARGE DEVIATIONS; RARE-EVENT SIMULATION;

RANDOM PROCESSES;

EID: 34748840230     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/1190095.1190118     Document Type: Conference Paper

References (9)

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7. Glasserman, P. and Juneja, S. (2006) Uniform importance sampling for the tail distribution of sums of random variables. Preprint.
8. Liu, J. (2001) Monte Carlo Strategies in Scientific Computing. Springer-Verlag, New York.
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