Open AccessState-independent Importance Sampling for Random Walks with Regularly Varying Increments
Author(s) -
Karthyek Murthy,
Sandeep Juneja,
José Blanchet
Publication year - 2014
Publication title -
stochastic systems
Language(s) - English
Resource type - Journals
ISSN - 1946-5238
DOI - 10.1287/13-ssy114
Subject(s) - estimator , importance sampling , variance reduction , sampling (signal processing) , variance (accounting) , mathematics , event (particle physics) , rare events , exponential function , algorithm , random walk , residual , large deviations theory , statistics , computer science , monte carlo method , mathematical analysis , physics , accounting , filter (signal processing) , quantum mechanics , business , computer vision