Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1143184 | Operations Research Letters | 2007 | 10 Pages |
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
Achal Bassamboo, Sandeep Juneja, Assaf Zeevi,