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Simulating level-crossing probabilities by importance sampling

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References

1989Importance Sampling for Stochastic Simulations635 cited
1984Approximations for the probability of ruin within finite time95 cited

Cited by

2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited
1996On Monte Carlo estimation of large deviations probabilities60 cited
2002Importance Sampling Techniques for the Multidimensional Ruin Problem for General Markov Additive Sequences of Random Vectors53 cited
2005Fast simulation of rare events in queueing and reliability models41 cited
1998Rough descriptions of ruin for a general class of surplus processes39 cited
1995Rare event simulation in stochastic models37 cited
1995Ruin probabilities via local adjustment coefficients35 cited
2005On asymptotically efficient simulation of large deviation probabilities34 cited
1995Fast simulation of packet loss rates in a shared buffer communications switch33 cited
2005Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes26 cited
2006Fast simulation of overflow probabilities in a queue with Gaussian input23 cited

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