Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables

@article{Juneja2007AsymptoticsAF,
  title={Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables},
  author={Sandeep Juneja and R. L. Karandikar and Perwez Shahabuddin},
  journal={ACM Trans. Model. Comput. Simul.},
  year={2007},
  volume={17},
  pages={7}
}
We derive tail asymptotics for the probability that the maximum of sums of a few random variables exceeds an increasing threshold, when the random variables may be light as well as heavy tailed. These probabilities arise in many applications including in PERT networks where our interest may be in measuring the probability of large project delays. We also develop provably asymptotically optimal importance sampling techniques to efficiently estimate these probabilities. In the light-tailed… CONTINUE READING
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