Abstract
For every integer n, let Z p,n be a random variable taking values in some complete separable metric space S n . Let P n be the probability measure induced by Z p,n on S n . Instead of directly simulating Z p,n , we choose to simulate with another S n -valued random variable Z q,n which in turn induces a probability measure on S n , Q n . Let f n be an R-valued measurable function on the space S n ; that is f n : S n → R.
Those who can, do. Those who can’t, simulate.
Anon
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© 2004 Springer Science+Business Media New York
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Bucklew, J.A. (2004). Rare Event Simulation for Level Crossing and Queueing Models. In: Introduction to Rare Event Simulation. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-4078-3_11
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DOI: https://doi.org/10.1007/978-1-4757-4078-3_11
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-1893-2
Online ISBN: 978-1-4757-4078-3
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