Rare Event Simulation for Multidimensional Random Walks with t-Distributed Increments (with J. C. Liu)

Summary:

This is the conference version of the paper [“Rare event Simulation for Multidimensional Regularly Varying Random Walks’’]. An important difference with the journal version is basically the numerical experiments and the exposition, which is much more straightforward because deals with simpler models and doesn’t cover termination time issues.

Bibtex:

@INPROCEEDINGS {BlanLiuHTHDConf07,

AUTHOR={ J. Blanchet and J. C. Liu},

YEAR={2007},

TITLE={Rare event simulation for multidimensional random walks with t-distributed increments},

BOOKTITLE={Proceedings of the 2007 Winter Simulation Conference},

EDITOR={S. G. Henderson, B. Biller, M.-H. Hsieh, J. Shortle, J. D. Tew and R. R. Barton},

PUBLISHER={IEEE Press},

PAGES={395-402}

}