Rare-event simulations for exponential integrals of smooth Gaussian processes

Jingchen Liu, Gongjun Xu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Abstract

In this paper, we consider the rare-event simulation of integrals of exponential functions of smooth Gaussian random processes. In particular, we design importance sampling estimators that are asymptotically efficient. The efficiency analysis consists of the bias control and the variance control relative to the interesting tail probabilities.

Original languageEnglish (US)
Title of host publicationProceedings of the 2012 Winter Simulation Conference, WSC 2012
DOIs
StatePublished - Dec 1 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: Dec 9 2012Dec 12 2012

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2012 Winter Simulation Conference, WSC 2012
CountryGermany
CityBerlin
Period12/9/1212/12/12

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Cite this

Liu, J., & Xu, G. (2012). Rare-event simulations for exponential integrals of smooth Gaussian processes. In Proceedings of the 2012 Winter Simulation Conference, WSC 2012 [6465201] (Proceedings - Winter Simulation Conference). https://doi.org/10.1109/WSC.2012.6465201