Importance sampling of heavy-tailed iterated random functions
Sign Up to like & getrecommendations! Published in 2018 at "Advances in Applied Probability"
DOI: 10.1017/apr.2018.37
Abstract: Abstract We consider the stationary solution Z of the Markov chain {Zn}n∈ℕ defined by Zn+1=ψn+1(Zn), where {ψn}n∈ℕ is a sequence of independent and identically distributed random Lipschitz functions. We estimate the probability of the event… read more here.
Keywords: tailed iterated; heavy tailed; sampling heavy; random ... See more keywords