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Rare events, splitting, and quasi-Monte Carlo

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References

1977An equilibrium characterization of the term structure6,104 cited
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1989Importance Sampling for Stochastic Simulations635 cited
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2004Introduction to Rare Event Simulation517 cited
1989A quick simulation method for excessive backlogs in networks of queues269 cited
1999Multilevel Splitting for Estimating Rare Event Probabilities252 cited
1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
1994Effective bandwidth and fast simulation of ATM intree networks139 cited
2000The splitting method in rare event simulation132 cited
1994Restart: a straightforward method for fast simulation of rare events96 cited

Cited by

2006Splitting for rare-event simulation55 cited
2011A variant of importance splitting for rare event estimation45 cited
2014Bounding rare event probabilities in computer experiments12 cited

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