Efficient Rare-Event Simulation for the Maximum of...

Efficient Rare-Event Simulation for the Maximum of Heavy-Tailed Random Walks

Jose Blanchet and Peter Glynn
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Volume:
18
Language:
english
Journal:
The Annals of Applied Probability
DOI:
10.2307/25442672
Date:
August, 2008
File:
PDF, 1.81 MB
english, 2008
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