Article ID Journal Published Year Pages File Type
1143184 Operations Research Letters 2007 10 Pages PDF
Abstract
This paper proves that there does not exist an asymptotically optimal state-independent change-of-measure for estimating the probability that a random walk with heavy-tailed increments exceeds a “high” threshold before going below zero. Explicit bounds are given on the best asymptotic variance reduction that can be achieved by state-independent schemes.
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Authors
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