We introduce a new approach to simulating rare events for Markov random walks with heavy-tailed increments. This approach involves sequential importance sampling and resampling, and uses a martingale ...
The standard estimator used in conjunction with importance sampling in Monte Carlo integration is unbiased but inefficient. An alternative estimator is discussed, based on the idea of a difference ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback