Efficient rare-event simulation for perpetuities
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DOI: 10.1016/j.spa.2012.05.002
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References listed on IDEAS
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- Paul Dupuis & Hui Wang, 2007. "Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling," Mathematics of Operations Research, INFORMS, vol. 32(3), pages 723-757, August.
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Keywords
State-dependent importance sampling; Perpetuities; Tail asymptotics; Lyapunov inequalities; Markov chains;All these keywords.
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