Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
نویسندگان
چکیده
منابع مشابه
E¢ cient Simulation and Conditional Functional Limit Theorems for Ruinous Heavy-tailed Random Walks
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture form. We exploit our methodology to achieve two types of results. First, we construct Monte Carlo estimators that are strongly e¢ cient (i.e. have bounded rela...
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In a recent paper of Eichelsbacher and König (2008) the model of ordered random walks has been considered. There it has been shown that, under certain moment conditions, one can construct a k-dimensional random walk conditioned to stay in a strict order at all times. Moreover, they have shown that the rescaled random walk converges to the Dyson Brownian motion. In the present paper we find the ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.05.001