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Rare-event simulation for a multidimensional random walk with t distributed increments

10 years 6 months ago
Rare-event simulation for a multidimensional random walk with t distributed increments
We consider the problem of efficient estimation of first passage time probabilities for a multidimensional random walk with t distributed increments, via simulation. In addition of being a natural generalization of the problem of computing ruin probabilities in insurance – in which the focus is a one dimensional random walk – this problem captures important features of large deviations for multidimensional heavy-tailed processes (such as the role played by the mean of the random walk in connection to the spatial location of the target set). We develop a state-dependent importance sampling estimator for this class of multidimensional problems. Then, we argue – using techniques based on Lyapunov type inequalities – that our estimator is strongly efficient.
Jose H. Blanchet, Jingchen Liu
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Jose H. Blanchet, Jingchen Liu
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