Title :
Efficient rare event simulation of continuous time Markovian perpetuities
Author :
Blanchet, Jose ; Glynn, Peter
Author_Institution :
Dept. of Ind. Eng. & Oper. Res., New York, NY, USA
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.
Keywords :
Markov processes; financial management; importance sampling; continuous time Markovian perpetuity; rare event simulation; state-dependent importance sampling estimator; Context modeling; Discrete event simulation; Economic indicators; Finance; Industrial engineering; Instruments; Probability distribution; Risk analysis; State estimation; Stochastic processes;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2009 Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-5770-0
DOI :
10.1109/WSC.2009.5429355
