Sample-Path Large Deviations in Credit Risk.

Vincent J. G. Leijdekker M. R. H. Mandjes Peter Spreij

Published in: J. Appl. Math. (2011)

Keyphrases

large deviations
queue length
state dependent
markov processes
generalization bounds
queueing systems
heavy tailed
mathematical programming
importance sampling
asymptotically optimal
training data
probability distribution
generalization ability