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- W3143368266 abstract "We develop rare event simulation methodology for the tail of a perpetuity driven by a continuous time Markov chain. We present a state-dependent importance sampling estimator in continuous time that can be shown to be asymptotically optimal in the context of small interest rates." @default.
- W3143368266 created "2021-04-13" @default.
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- W3143368266 date "2009-12-01" @default.
- W3143368266 modified "2023-09-25" @default.
- W3143368266 title "Efficient rare event simulation of continuous time Markovian perpetuities" @default.
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- W3143368266 doi "https://doi.org/10.1109/wsc.2009.5429355" @default.
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