Rare-event simulation for a multidimensional random walk with t distributed increments

Proceedings - Winter Simulation Conference

Volumn , Issue , 2007, Pages 395-402

  Blanchet, Jose H ^a   Liu, Jingchen ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ESTIMATION; PROBABILITY;

EFFICIENT ESTIMATION; FIRST PASSAGE TIME; HEAVY-TAILED; IMPORTANCE SAMPLING; LARGE DEVIATIONS; LYAPUNOV; MULTI-DIMENSIONAL PROBLEMS; NATURAL GENERALIZATION; ONE-DIMENSIONAL; RANDOM WALKS; RARE-EVENT SIMULATIONS; RUIN PROBABILITIES; SPATIAL LOCATIONS; STATE-DEPENDENT;

RANDOM PROCESSES;

EID: 49749134320     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2007.4419628     Document Type: Conference Paper

References (13)

1. Asmussen, S. (2003) Applied Probability and Queues. Springer-Verlag. New York.
2. Blanchet, J. and Glynn, P. (2007) Efficient rare event simulation for the maximum of heavy-tailed random walks. Submitted.
3. Blanchet, J., Glynn, P., and Liu, J. C. (2007a) Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue. Submitted.
4. Blanchet, J., Glynn, P., and Liu, J. C. (2007b) Efficient rare event simulation for multiserver queues. Preprint.
5. Blanchet, J. and Liu, J. C. (2007) First-passage time probabilities for multidimensional heavy-tailed random walks: Algorithms and Asymptotics. Preprint.
6. Dupuis, P., Leder, K., and Wang, H. (2006) Notes on importance sampling for random variables with regularly varying tails. Preprint.
7. Embrechts, P., Lindskog, F., and McNeal, A. (2001) Modeling dependence with copulas and applications to risk management. Technical Report, Risklab, ETH Zurich.
8. Glasserman, P., and Juneja, S. (2007) Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables. To appear in Math. of O.R.
9. Glynn, P., and Iglehart, D. (1989) Importance sampling for stochastic simulations. Management Science, vol. 35, No. 11, p. 1367-1392.
10. Hult, H., Lindskog, F., Mikosch, T., and Samorodnitsky, G. (2005) Functional large deviations for multivariate regularly varying random walks. Ann. Appl. Probab. No. 15, p. 2651-2680.
11. Hult, H., and Lindskog, F. (2006) Heavy-tailed insurance portfolios: buffer capital and ruin probabilities. Tech. Rep. No. 1441, School of ORIE, Cornell University.
12. Rozovskii, L. V. (1989) Probabilities of Large Deviations of Sums of Independent Random Variables with Common Distribution Function in the Domain of Attraction of the Normal Law, Theory Probab. Appl., 34, pp. 625-644.
13. Sadowsky, J. S. and Bucklew, J. A. (1990) On large deviations theory and asymptotically efficient Monte Carlo estimation. IEEE Transactions on Information Theory, Vol. 36, No 3, p. 579-588.