Large deviations and fast simulation in the presence of boundaries

Søren Asmussen*, Pascal Fuckerieder, Manfred Jobmann, Hans Peter Schwefel

*Kontaktforfatter

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

4 Citationer (Scopus)
OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind102
Udgave nummer1
Sider (fra-til)1-23
Antal sider23
ISSN0304-4149
DOI
StatusUdgivet - 1 nov. 2002

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Large Deviations
Overflow
Counterexample
Markov Additive Process
Queueing Process
Rare Event Simulation
Regenerative Process
Efficient Estimator
Simulation
Asymptotic Properties
Buffer
Valid
Estimator
Cycle
Approximation

Citer dette

Asmussen, Søren ; Fuckerieder, Pascal ; Jobmann, Manfred ; Schwefel, Hans Peter. / Large deviations and fast simulation in the presence of boundaries. I: Stochastic Processes and Their Applications. 2002 ; Bind 102, Nr. 1. s. 1-23.
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author = "S{\o}ren Asmussen and Pascal Fuckerieder and Manfred Jobmann and Schwefel, {Hans Peter}",
year = "2002",
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Large deviations and fast simulation in the presence of boundaries. / Asmussen, Søren; Fuckerieder, Pascal; Jobmann, Manfred; Schwefel, Hans Peter.

I: Stochastic Processes and Their Applications, Bind 102, Nr. 1, 01.11.2002, s. 1-23.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

TY - JOUR

T1 - Large deviations and fast simulation in the presence of boundaries

AU - Asmussen, Søren

AU - Fuckerieder, Pascal

AU - Jobmann, Manfred

AU - Schwefel, Hans Peter

PY - 2002/11/1

Y1 - 2002/11/1

KW - Buffer overflow

KW - Exponential change of measure

KW - Filtered Monte Carlo

KW - Importance sampling Lévy process

KW - Local time

KW - Queueing theory

KW - Rare event

KW - Reflection

KW - Regenerative process

KW - Saddlepoint

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U2 - 10.1016/S0304-4149(02)00152-7

DO - 10.1016/S0304-4149(02)00152-7

M3 - Journal article

AN - SCOPUS:0036829392

VL - 102

SP - 1

EP - 23

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

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