Efficient Simulation of Density and Probability of Large Deviations of Sum of Random Vectors Using Saddle Point Representations

@inproceedings{Dey2011EfficientSO,
  title={Efficient Simulation of Density and Probability of Large Deviations of Sum of Random Vectors Using Saddle Point Representations},
  author={Santanu Dey and Sandeep Juneja},
  year={2011}
}
We consider the problem of efficient simulation estimation of the density function at the tails, and the probability of large deviations for a sum of independent, identically distributed, light-tailed and non-lattice random vectors. The latter problem besides being of independent interest, also forms a building block for more complex rare event problems that arise, for instance, in queuing and financial credit risk modeling. It has been extensively studied in literature where state independent… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 25 references

An Introduction to Probability Theory and Its Applications Vol.2

  • W. Feller
  • 1971
Highly Influential
4 Excerpts

Stochastic Simulation: Algorithms and Analysis

  • S. Asmussen, P. Glynn
  • 2008
Highly Influential
4 Excerpts

Saddlepoint Approximations

  • J. L. Jensen
  • 1995
Highly Influential
4 Excerpts

Strongly efficient algorithms for light-tailed random walks: An old folk song sung to a faster new tune.

  • Blanchet, D. J. Leder, P. Glynn
  • MCQMC 2008.Editor:Pierre LEcuyer and Art Owen…
  • 2008
3 Excerpts

Saddlepoint Approximation with Applications

  • R. W. Butler
  • 2007
2 Excerpts

Rare Event Simulation Techniques Handbooks in Operation Research and Management Science 13 Simulation.Elsevier North-Holland, Amstredam, 291–350

  • S. Juneja, P. Shahabuddin
  • 2006
3 Excerpts

Similar Papers

Loading similar papers…