15 citations · 30 across the 10 of their papers we have counts for
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math.PR2019★ 2 cited
Rare Event Simulation for Steady-State Probabilities via Recurrency Cycles
Krzysztof Bisewski, Daan Crommelin, Michel Mandjes
We develop a new algorithm for the estimation of rare event probabilities associated with the steady-state of a Markov stochastic process with continuous state space …
math.PR2019★ 15 cited
Zooming-in on a Lévy process: Failure to observe threshold exceedance over a dense grid
Krzysztof Bisewski, Jevgenijs Ivanovs
For a Lévy process on a finite time interval consider the probability that it exceeds some fixed threshold while staying below at the points of a regular grid. We est…