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.File in questo prodotto:
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