J. Blanchet and P. Glynn, “Efficient rare event simulation of continuous time Markovian perpetuities,” Proceedings of the 2009 Winter Simulation Conference (WSC), Austin, TX, USA, 2009, pp. 444-451, doi: 10.1109/WSC.2009.5429355.
Abstract
We develop rare event simulation methodology for the tail of a perpetuity driven by a continuous time Markov chain. We present a state-dependent importance sampling estimator in continuous time that can be shown to be asymptotically optimal in the context of small interest rates.
Authors
Jose Blanchet, Peter Glynn
Publication date
2009/12/13
Conference
Proceedings of the 2009 Winter Simulation Conference (WSC)
Pages
444-451
Publisher
IEEE
