24 search results - page 1 / 5 » Asymptotic robustness of estimators in rare-event simulation |
WSC
2007
13 years 7 months ago
2007
We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the cha...
WSC
2007
13 years 7 months ago
2007
State-dependent importance sampling (SDIS) has proved to be particularly useful in simulation (specially in rare event analysis of stochastic systems). One approach for designing ...
WSC
2008
13 years 7 months ago
2008
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
TOMACS
2002
13 years 4 months ago
2002
In this paper we consider a two-node tandem Jackson network. Starting from a given state, we are interested in estimating the probability that the content of the second buffer exc...
TOMACS
2010
13 years 3 months ago
2010
