کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156654 | 958854 | 2012 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Efficient rare-event simulation for perpetuities
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider perpetuities of the form D=B1exp(Y1)+B2exp(Y1+Y2)+â¯, where the Yj's and Bj's might be i.i.d. or jointly driven by a suitable Markov chain. We assume that the Yj's satisfy the so-called Cramér condition with associated root θââ(0,â) and that the tails of the Bj's are appropriately behaved so that D is regularly varying with index θâ. We illustrate by means of an example that the natural state-independent importance sampling estimator obtained by exponentially tilting the Yj's according to θâ fails to provide an efficient estimator (in the sense of appropriately controlling the relative mean squared error as the tail probability of interest gets smaller). Then, we construct estimators based on state-dependent importance sampling that are rigorously shown to be efficient.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 10, October 2012, Pages 3361-3392
Journal: Stochastic Processes and their Applications - Volume 122, Issue 10, October 2012, Pages 3361-3392
نویسندگان
Jose Blanchet, Henry Lam, Bert Zwart,