Importance sampling for indicator Markov chains

Proceedings - Winter Simulation Conference

Volumn , Issue , 2010, Pages 2742-2749

  Giesecke, Kay ^a   Shkolnik, Alexander D ^a  

^a Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONTINUOUS TIME; FIXED TIME; IMPORTANCE SAMPLING; INTER-DEPENDENT COMPONENTS; MARKOV CHAIN; TRANSITION COUNT;

MARKOV PROCESSES;

EID: 79951642309     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2010.5678969     Document Type: Conference Paper

References (4)

1. Bremaud, P. 1981. Point processes and queues: Martingale dynamics. New York: Springer-Verlag.
2. Giesecke, K., H. Kakavand, M. Mousavi, and H. Takada. 2009. Exact and efficient simulation of correlated defaults. SIAM Journal on Financial Mathematics, forthcoming.
3. Giesecke, K., and B. Kim. 2008. Risk analysis of collateralized debt obligations. Operations Research, forthcoming.
4. Glynn, P., and S. Asmussen. 2007. Stochastic simulation: Algorithms and analysis. New York: Springer.