Efficient rare-event simulation for perpetuities
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References listed on IDEAS
- Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
- de Saporta, BenoI^te, 2005. "Tail of the stationary solution of the stochastic equation Yn+1=anYn+bn with Markovian coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1954-1978, December.
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- de Vries, Harwin & Duijzer, Evelot, 2017. "Incorporating driving range variability in network design for refueling facilities," Omega, Elsevier, vol. 69(C), pages 102-114.
More about this item
KeywordsState-dependent importance sampling; Perpetuities; Tail asymptotics; Lyapunov inequalities; Markov chains;
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