TY - GEN
T1 - Rare-event simulations for exponential integrals of smooth Gaussian processes
AU - Liu, Jingchen
AU - Xu, Gongjun
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84874679972&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84874679972&partnerID=8YFLogxK
U2 - 10.1109/WSC.2012.6465201
DO - 10.1109/WSC.2012.6465201
M3 - Conference contribution
AN - SCOPUS:84874679972
SN - 9781467347792
T3 - Proceedings - Winter Simulation Conference
BT - Proceedings of the 2012 Winter Simulation Conference, WSC 2012
T2 - 2012 Winter Simulation Conference, WSC 2012
Y2 - 9 December 2012 through 12 December 2012
ER -