Optimal rare event Monte Carlo for Markov modulated regularly varying random walks.

Karthyek R. A. Murthy Sandeep Juneja Jose H. Blanchet

Published in: WSC (2013)

Keyphrases

monte carlo
random walk
importance sampling
markov chain
rare events
markov modulated
optimal strategy
poisson process
transition probabilities
particle filter
stationary distribution
dynamic programming
steady state
markov chain monte carlo
optimal solution
kalman filter
state space
data mining