Large deviations in rare events simulation: examples, counterexamples and alternatives

Sören Asmussen

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Sammanfattning

When simulating small probabilities, say of order 10<sup>-6</sup> or less, by importance sampling, an established principle is to choose the importance sampling distribution as close to the conditional distribution given the rare event as possible. Implementing this often leads into large deviations calculations and exponential change of measure. We survey some of the standard examples where this approach works and supplement existing counterexamples with new ones. Difficulties often arise as consequence of reflecting barriers and we present an algorithm which at least in simple cases is able to deal with this problem. Also the case of heavy-tailed distributions is considered
Originalspråkengelska
Titel på gästpublikationMonte-Carlo and Quasi-Monte Carlo Methods 2000. Proceedings of a Conference
FörlagSpringer
Sidor1-9
ISBN (tryckt)3-540-42718-X
StatusPublished - 2002
EvenemangProceedings of Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing - Hong Kong, Kina
Varaktighet: 2000 nov 272000 dec 1

Konferens

KonferensProceedings of Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Land/TerritoriumKina
OrtHong Kong
Period2000/11/272000/12/01

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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