Abstract
Eh cient Simulation for Rare Events Page 1 Eh cient Simulation for Rare Events Jose Blanchet Columbia Department of IEOR Lunteren Conference 2010 Blanchet (Columbia) Monte Carlo and Rare Events 1 / 43 Page 2 Agenda Introduction A Simple Random Walk Example Systematic Approach Testing Eh ciency Counter%examples, Heavy%tails and Beyond Blanchet (Columbia) Monte Carlo and Rare Events 2 / 43 Page 3 Rare Event Analysis: Areas of Applicability Rare events are consequential in many areas Insurance / Finance Blanchet (Columbia) Monte Carlo and Rare Events 3 / 43 Page 4 Rare Event Analysis: Areas of Applicability Rare events are consequential in many areas Insurance / Finance Congestion models (queues) Blanchet (Columbia) Monte Carlo and Rare Events 3 / 43 Page 5 Rare Event Analysis: Areas of Applicability Rare events are consequential in many areas Insurance / Finance …
Authors
Jose Blanchet
