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math.PR2023
Strongly Efficient Rare-Event Simulation for Regularly Varying Lévy Processes with Infinite Activities
Xingyu Wang, Chang-Han Rhee
In this paper, we address rare-event simulation for heavy-tailed Lévy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it…
math.PR2023★ 1 cited
Large Deviations and Metastability Analysis for Heavy-Tailed Dynamical Systems
Xingyu Wang, Chang-Han Rhee
This paper introduces novel frameworks for large deviations and metastability analysis in heavy-tailed stochastic dynamical systems. We develop and apply these frameworks within th…