Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions
2021
We study rare event simulations of semimartingale reflecting Brownian motions (SRBMs) in an orthant. The rare event of interest is that a d-dimensional positive recurrent SRBM enters the set {z∈R+d...
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
25
References
0
Citations
NaN
KQI