We study the estimation of the probability Gaussian process being “above the diagonal” over long time interval [0; T]. This event becomes rare when T grows, hence standard Monte Carlo requires a large number of generated sample paths. We discuss the application of well-known conditional Monte Carlo method for variance reduction of the target probability estimator.

On Conditional Monte Carlo Estimation of Rare Events in Gaussian Queuing Systems

PAGANO, MICHELE
2015-01-01

Abstract

We study the estimation of the probability Gaussian process being “above the diagonal” over long time interval [0; T]. This event becomes rare when T grows, hence standard Monte Carlo requires a large number of generated sample paths. We discuss the application of well-known conditional Monte Carlo method for variance reduction of the target probability estimator.
2015
978-3-900932-28-2
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11568/781995
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