J. H. Blanchet and Jingchen Liu, “Rare-event simulation for a multidimensional random walk with t distributed increments,” 2007 Winter Simulation Conference, Washington, DC, USA, 2007, pp. 395-402, doi: 10.1109/WSC.2007.4419628.
Abstract
We consider the problem of efficient estimation of first passage time probabilities for a multidimensional random walk with t distributed increments, via simulation. In addition of being a natural generalization of the problem of computing ruin probabilities in insurance - in which the focus is a one dimensional random walk - this problem captures important features of large deviations for multidimensional heavy-tailed processes (such as the role played by the mean of the random walk in connection to the spatial location of the target set). We develop a state-dependent importance sampling estimator for this class of multidimensional problems. Then, we argue - using techniques based on Lyapunov type inequalities - that our estimator is strongly efficient.
Authors
Jose H Blanchet, Jingchen Liu
Publication date
2007/12/9
Conference
2007 Winter Simulation Conference
Pages
395-402
Publisher
IEEE
