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Introduction to Rare Event Simulation

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Cover of 'Introduction to Rare Event Simulation'

Table of Contents

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    Book Overview
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    Chapter 1 Random Number Generation
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    Chapter 2 Stochastic Models
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    Chapter 3 Large Deviation Theory
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    Chapter 4 Importance Sampling
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    Chapter 5 The Large Deviation Theory of Importance Sampling Estimators
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    Chapter 6 Variance Rate Theory of Conditional Importance Sampling Estimators
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    Chapter 7 The Large Deviations of Bias Point Selection
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    Chapter 8 Chernoff’s Bound and Asymptotic Expansions
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    Chapter 9 Gaussian Systems
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    Chapter 10 Universal Simulation Distributions
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    Chapter 11 Rare Event Simulation for Level Crossing and Queueing Models
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    Chapter 12 Blind Simulation
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    Chapter 13 The (Over-Under) Biasing Problem in Importance Sampling
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    Chapter 14 Tools and Techniques for Importance Sampling
Attention for Chapter 3: Large Deviation Theory
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