Sciweavers

TOMACS
2002
113views more  TOMACS 2002»
13 years 4 months ago
Simulating heavy tailed processes using delayed hazard rate twisting
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying rand...
Sandeep Juneja, Perwez Shahabuddin