## Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations

- Ankush Agarwal, Santanu Dey, Sandeep Juneja
- J. Applied Probability
- 2013

@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} }

- Published 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