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Improved algorithms for rare event simulation with heavy tails

By Søren Asmussen and Dirk P. Kroese

Abstract

heavy tail

Topics: Key words, Bounded relative error, complexity, conditional Monte Carlo, control variate, logaritmic efficiency, M/G/1 queue, Pollaczeck- Khinchine formula, rare event, regular variation, stratification, subexponential distribution, Weibull distribution
Year: 2004
OAI identifier: oai:CiteSeerX.psu:10.1.1.135.7043
Provided by: CiteSeerX
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