3 papers
math.PR2024
Sample-Path Large Deviations for Lévy Processes and Random Walks with Lognormal Increments
Zhe Su, Chang-Han Rhee
The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established larg…
math.PR2016
Importance sampling of heavy-tailed iterated random functions
Bohan Chen, Chang-Han Rhee, Bert Zwart
We consider a stochastic recurrence equation of the form , where , and $\{(A_n,B_n)\}_{n\in\m…
stat.CO2014
Exact Estimation for Markov Chain Equilibrium Expectations
Peter W. Glynn, Chang-han Rhee
We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with…