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math.PR2020
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Lévy Processes with Infinite Activities
Xingyu Wang, Chang-Han Rhee
In this paper we address the problem of rare-event simulation for heavy-tailed Lévy processes with infinite activities. We propose a strongly efficient importance sampling algorith…
math.PR2017★ 3 cited
Lyapunov Conditions for Differentiability of Markov Chain Expectations: the Absolutely Continuous Case
Chang-Han Rhee, Peter Glynn
We consider a family of Markov chains whose transition dynamics are affected by model parameters. Understanding the parametric dependence of (complex) performance measures of such…
math.PR2017★ 1 cited
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…