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Rare Event Monte Carlo and Importance Sampling

  • Amarjit BudhirajaEmail author
  • Paul Dupuis
Chapter
Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 94)

Abstract

Suppose that in the analysis of some system, the value of a probability or expected value that is largely determined by one or a few events is important. Examples include the data loss in a communication network; depletion of capital reserves in a model for insurance; motion between metastable states in a chemical reaction network; and exceedance of a regulatory threshold in a model for pollution in a waterway. In previous chapters we have described how large deviation theory gives approximations for such quantities. The approximations take the form of logarithmic asymptotics, i.e., exponential decay rates.

Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of Statistics and Operations ResearchUniversity of North CarolinaChapel HillUSA
  2. 2.Division of Applied MathematicsBrown UniversityProvidenceUSA

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