Efficient rare-event simulation for perpetuities.

J. Blanchet; H. Lam; A.P. Zwart

doi:10.1016/j.spa.2012.05.002

Efficient rare-event simulation for perpetuities.

J. Blanchet, H. Lam, A.P. Zwart

Mathematics

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

We consider perpetuities of the form D=

Original language	English
Pages (from-to)	3361-3392
Journal	Stochastic Processes and Their Applications
Volume	122
Issue number	10
DOIs	https://doi.org/10.1016/j.spa.2012.05.002
Publication status	Published - 2012

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10.1016/j.spa.2012.05.002

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title = "Efficient rare-event simulation for perpetuities.",

abstract = "We consider perpetuities of the form D=",

author = "J. Blanchet and H. Lam and A.P. Zwart",

year = "2012",

doi = "10.1016/j.spa.2012.05.002",

language = "English",

volume = "122",

pages = "3361--3392",

journal = "Stochastic Processes and Their Applications",

issn = "0304-4149",

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number = "10",

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TY - JOUR

T1 - Efficient rare-event simulation for perpetuities.

AU - Blanchet, J.

AU - Lam, H.

AU - Zwart, A.P.

PY - 2012

Y1 - 2012

N2 - We consider perpetuities of the form D=

AB - We consider perpetuities of the form D=

U2 - 10.1016/j.spa.2012.05.002

DO - 10.1016/j.spa.2012.05.002

M3 - Article

SN - 0304-4149

VL - 122

SP - 3361

EP - 3392

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

IS - 10

ER -

Efficient rare-event simulation for perpetuities.

Abstract

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