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Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution
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- Journal:
- Journal of Applied Probability / Volume 51 / Issue 3 / September 2014
- Published online by Cambridge University Press:
- 30 January 2018, pp. 741-755
- Print publication:
- September 2014
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Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
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- Journal:
- Journal of Applied Probability / Volume 47 / Issue 2 / June 2010
- Published online by Cambridge University Press:
- 14 July 2016, pp. 301-322
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- June 2010
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State-dependent importance sampling for regularly varying random walks
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- Journal:
- Advances in Applied Probability / Volume 40 / Issue 4 / December 2008
- Published online by Cambridge University Press:
- 01 July 2016, pp. 1104-1128
- Print publication:
- December 2008
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