Efficient importance sampling for monte carlo evaluation of exceedance probabilities

Annals of Applied Probability

Volumn 17, Issue 2, 2007, Pages 440-473

  Chan, Hock Peng ^a   Lai, Tze Leung ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b STANFORD UNIVERSITY   (United States)

Author keywords

Boundary crossing probability; Importance sampling; Markov additive process; Regeneration

Indexed keywords

EID: 38549152571     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000664     Document Type: Article

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