10. Rare-Event Simulation

  1. Dirk P. Kroese1,
  2. Thomas Taimre1 and
  3. Zdravko I. Botev2

Published Online: 20 SEP 2011

DOI: 10.1002/9781118014967.ch10

Handbook of Monte Carlo Methods

Handbook of Monte Carlo Methods

How to Cite

Kroese, D. P., Taimre, T. and Botev, Z. I. (2011) Rare-Event Simulation, in Handbook of Monte Carlo Methods, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118014967.ch10

Author Information

  1. 1

    University of Queensland

  2. 2

    Université de Montréal

Publication History

  1. Published Online: 20 SEP 2011
  2. Published Print: 28 FEB 2011

ISBN Information

Print ISBN: 9780470177938

Online ISBN: 9781118014967

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Keywords:

  • rare-event simulation;
  • estimation of stoppingtime;
  • overflow probabilities;
  • exponential change of measure;
  • conditional Monte Carlo

Summary

This chapter contains sections titled:

  • Efficiency of Estimators

  • Importance Sampling Methods for Light Tails

  • Conditioning Methods for Heavy Tails

  • State-Dependent Importance Sampling

  • Cross-Entropy Method for Rare-Event Simulation

  • Splitting Method