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Rare Events Simulation for Heavy-Tailed Distributions

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2008Efficient rare-event simulation for the maximum of heavy-tailed random walks103 cited

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2002

Simulating heavy tailed processes using delayed hazard rate twisting

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2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited

2008State-dependent importance sampling for regularly varying random walks63 cited

2005HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY49 cited

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1999On tail probabilities and first passage times for fractional Brownian motion36 cited

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2017Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments17 cited

2007Efficient importance sampling heuristics for the simulation of population overflow in Jackson networks16 cited