Strongly efficient estimators for light-tailed sums

@inproceedings{Blanchet2006StronglyEE,
  title={Strongly efficient estimators for light-tailed sums},
  author={Jose H. Blanchet and Peter W. Glynn},
  booktitle={VALUETOOLS},
  year={2006}
}
Let (<i>S<inf>n</inf> : n ≥ 0)</i> be a mean zero random walk (rw) with light-tailed increments. One of the most fundamental problems in rare-event simulation involves computing <i>P (S<inf>n</inf> > nβ)</i> for β > 0 when <i>n</i> is large. It is well known that the optimal exponential tilting (OET), although logarithmically efficient, is not strongly efficient (the squared coefficient of variation of the estimator grows at rate <i>n</i><sup>1/2</sup>). Our analysis of the zero-variance change… CONTINUE READING

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