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Importance sampling for stochastic recurrence equations with heavy tailed increments
Importance sampling in the setting of heavy tailed random variables has generally focused on models with additive noise terms. In this work we extend this concept by considering importance sampling for the estimation of rare events in Markov chains of the form equation where the B <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">n</sub> 's …