Efficient rare-event simulation for the maximum of heavy-tailed random walks
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Let (Xn : n≥0) be a sequence of i.i.d. r.v.'s with negative mean. Set S0=0 and define Sn=X1+⋯+Xn. We propose an importance sampling algorithm to estimate the tail of M=max {Sn : n≥0} that is strongly efficient for both light and heavy-tailed increment distributions. Moreover, in the case of heavy-tailed …