• DocumentCode
    3270073
  • Title

    Rare event simulation techniques

  • Author

    Blanchet, Jose ; Lam, Henry

  • Author_Institution
    Columbia Univ., New York, NY, USA
  • fYear
    2011
  • fDate
    11-14 Dec. 2011
  • Firstpage
    146
  • Lastpage
    160
  • Abstract
    We discuss rare event simulation techniques based on state-dependent importance sampling. Classical examples and counter-examples are shown to illustrate the reach and limitations of the state-independent approach. State-dependent techniques are helpful to deal with these limitations. These techniques can be applied to both light and heavy tailed systems and often are based on subsolutions to an associated Isaacs equation and on Lyapunov bounds.
  • Keywords
    Lyapunov methods; discrete event simulation; importance sampling; Isaacs equation; Lyapunov bounds; importance sampling; rare event simulation; state-independent approach; tailed systems; Companies; Equations; Insurance; Mathematical model; Monte Carlo methods; Stochastic processes; USA Councils;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), Proceedings of the 2011 Winter
  • Conference_Location
    Phoenix, AZ
  • ISSN
    0891-7736
  • Print_ISBN
    978-1-4577-2108-3
  • Electronic_ISBN
    0891-7736
  • Type

    conf

  • DOI
    10.1109/WSC.2011.6147747
  • Filename
    6147747