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Published in:
2019 | OriginalPaper | Chapter
14. Rare Event Monte Carlo and Importance Sampling
Authors : Amarjit Budhiraja, Paul Dupuis
Published in: Analysis and Approximation of Rare Events
Publisher: Springer US
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Abstract
Suppose that in the analysis of some system, the value of a probability or expected value that is largely determined by one or a few events is important. Examples include the data loss in a communication network; depletion of capital reserves in a model for insurance; motion between metastable states in a chemical reaction network; and exceedance of a regulatory threshold in a model for pollution in a waterway. In previous chapters we have described how large deviation theory gives approximations for such quantities. The approximations take the form of logarithmic asymptotics, i.e., exponential decay rates.