49 citations · 128 across the 31 of their papers we have counts for
4 papers · 1 filter
Long runs under a conditional limit distribution
Michel Broniatowski, Virgile Caron
This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a function of its summands as their number t…
Towards zero variance estimators for rare event probabilities
Michel Broniatowski, Virgile Caron
Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events E_{n}:=(f(X_{1})+...+f(X_{…
Long runs under point conditioning. The real case
Michel Broniatowski, Virgile Caron
This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a functions of its summands as their number…
Minimization of divergences on sets of signed measures
Michel Broniatowski, Amor Keziou
We consider the minimization problem of -divergences between a given probability measure and subsets of the vector space of all signed finite m…