Rare event asymptotics for a random walk in the quarter plane.

Fabrice Guillemin Johan van Leeuwaarden

Published in: Queueing Syst. Theory Appl. (2011)

Keyphrases

random walk
rare events
markov chain
importance sampling
stationary distribution
monte carlo
fraud detection
transition probability matrix
distributed data
markov random walk
class imbalance
state space
dynamic programming
class distribution
cost sensitive
kalman filter
outlier detection
machine learning