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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes.
Bohan Chen
Jose H. Blanchet
Chang-han Rhee
Bert Zwart
Published in:
Math. Oper. Res. (2019)
Keyphrases
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random walk
rare events
poisson processes
markov chain
importance sampling
transition probabilities
poisson process
monte carlo
image segmentation
optimal solution
communication cost
fraud detection
stationary distribution