Large deviations and fast simulation in the presence of boundaries

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

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

4 Citations (Scopus)
Original languageEnglish
JournalStochastic Processes and Their Applications
Volume102
Issue number1
Pages (from-to)1-23
Number of pages23
ISSN0304-4149
DOIs
Publication statusPublished - 1 Nov 2002
Externally publishedYes

Keywords

  • Buffer overflow
  • Exponential change of measure
  • Filtered Monte Carlo
  • Importance sampling Lévy process
  • Local time
  • Queueing theory
  • Rare event
  • Reflection
  • Regenerative process
  • Saddlepoint

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