Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune

Monte Carlo and Quasi-Monte Carlo Methods 2008

Volumn , Issue , 2009, Pages 227-248

  Blanchet, Jose H ^a   Leder, Kevin ^a   Glynn, Peter W ^b  

^a Department of Earth and Environmental Sciences   (United States)

^b Stanford University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

IMPORTANCE SAMPLING; SET THEORY;

CHANGE OF MEASURE; CLASSICAL PROBLEMS; EFFICIENT ESTIMATION; EFFICIENT SIMULATION; FINITE MOMENTS; RARE EVENT SIMULATION; SQUARED COEFFICIENT OF VARIATIONS; STATE-DEPENDENT;

MONTE CARLO METHODS;

EID: 84904120718     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-642-04107-5_13     Document Type: Conference Paper

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