Efficient rare-event simulation for the maximum of heavy-tailed random walks

Annals of Applied Probability

Volumn 18, Issue 4, 2008, Pages 1351-1378

  Blanchet, Jose ^a,c   Glynn, Peter ^b,d  

^a HARVARD UNIVERSITY   (United States)

^b STANFORD UNIVERSITY   (United States)

^c HARVARD UNIVERSITY   (United States)

^d Stanford University   (United States)

Author keywords

Change of measure; Heavy tails; Lyapunov bounds; Random walks; Rare event simulation; Single server queue; State dependent importance sampling

Indexed keywords

EID: 52949100614     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/07-AAP485     Document Type: Article

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