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What is Rare-Event Simulation for Heavy-Tailed Walks about?

This document proposes a new approach called sequential importance sampling with resampling (SISR) to simulate rare event probabilities for heavy-tailed random walks. SISR involves sequentially updating importance sampling densities and resampling particles to focus computational effort on rare event trajectories. The document outlines two SISR methods and analyzes their variance bounds, showing they can achieve linearly efficient estimation of rare event probabilities under certain conditions. Numerical re

Author

ropiu

Language

EN