• DocumentCode
    1817479
  • Title

    Efficient rare event simulation of continuous time Markovian perpetuities

  • Author

    Blanchet, Jose ; Glynn, Peter

  • Author_Institution
    Dept. of Ind. Eng. & Oper. Res., New York, NY, USA
  • fYear
    2009
  • fDate
    13-16 Dec. 2009
  • Firstpage
    444
  • Lastpage
    451
  • 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.
  • Keywords
    Markov processes; financial management; importance sampling; continuous time Markovian perpetuity; rare event simulation; state-dependent importance sampling estimator; Context modeling; Discrete event simulation; Economic indicators; Finance; Industrial engineering; Instruments; Probability distribution; Risk analysis; State estimation; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), Proceedings of the 2009 Winter
  • Conference_Location
    Austin, TX
  • Print_ISBN
    978-1-4244-5770-0
  • Type

    conf

  • DOI
    10.1109/WSC.2009.5429355
  • Filename
    5429355
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1817479