In this paper we present some large deviation results for compound Markov renewal processes. We start studying the exponential decay of level crossing probabilities as the level goes to infinity. Furthermore we consider a technique called importance sampling to estimate a level crossing probability by Monte Carlo simulations when the level is large; in particular we find an asymptotically efficient simulation law according to a sense specified in other works on the same topic.
Macci, C. (2005). Large deviation results for compound Markov renewal processes. REVISTA BRASILEIRA DE PROBABILIDADE E ESTATÍSTICA, 19, 1-12.
Large deviation results for compound Markov renewal processes
MACCI, CLAUDIO
2005-01-01
Abstract
In this paper we present some large deviation results for compound Markov renewal processes. We start studying the exponential decay of level crossing probabilities as the level goes to infinity. Furthermore we consider a technique called importance sampling to estimate a level crossing probability by Monte Carlo simulations when the level is large; in particular we find an asymptotically efficient simulation law according to a sense specified in other works on the same topic.File in questo prodotto:
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