On asymptotically efficient simulation of large deviation probabilities. [PDF]
, 2005 : Consider a family of probabilities for which the decay is governed by a large deviation principle. To find an estimate for a fixed member of this family, one is often forced to use simulation techniques. Direct Monte Carlo simulation, however, is often
Dieker, A.B. +3 more
core +2 more sources
Light tail asymptotics in multidimensional reflecting processes for queueing networks
Queueing network, Reflecting random walk, Semi-martingale reflecting Brownian motion, Stationary distribution, Tail asymptotic, Tail decay rate, Large deviations, Light tail, Stability, Stationary inequality, Server collaboration, Join the shortest queue,
Masakiyo Miyazawa
core +1 more source
Large deviations for a triangular array of exchangeable random variables [PDF]
, 2002 . – In this paper we consider a triangular array whose rows are composed of finite exchangeable random variables. We prove that, under suitable conditions, the sequence defined by the empirical measure process of each row satisfies a large deviation ...
Trashorras, José, José Trashorras
core
Some Useful Functions for Functional Large Deviations [PDF]
, 2004 Useful descriptions of stochastic models are often provided when they are represented as functions of well understood stochastic models. Properties of the well understood model can be preserved by the representation.
Rodgers-Lee, Mark +3 more
core +2 more sources
Computable Exponential Bounds for Screened Estimation and Simulation [PDF]
, 2007 Suppose the expectation E(F (X)) is to be estimated by the empirical averages of the values of F on independent and identically distributed samples {Xi}. A sampling rule called the “screened ” estimator is introduced, and its performance is studied. When
S. P. Meyn +3 more
core +1 more source
Asymptotic Properties of Additive Functionals of Brownian Motion
, 1997 this paper, we study the asymptotic behavior of additive functionals of Brownian motion which are not necessarily of bounded variation. The result is then applied to the Hilbert transform of the Brownian local time.
Masayoshi Takeda, Tusheng Zhang
core
Large and Moderate Deviation Principles for Recursive Kernel Density Estimators Defined by Stochastic Approximation Method [PDF]
, 2013 2010 Mathematics Subject Classification: 62G07, 62L20, 60F10.In this paper we prove large and moderate deviations principles for the recursive kernel estimators of a probability density function defined by the stochastic approximation algorithm ...
Slaoui, Yousri
core
, 2020 This paper is a survey of results presented in the recent book Introduction The book mentioned above presents new methods of asymptotic analysis of nonlinearly perturbed stochastic processes and systems with random lifetimes.
D S Silvestrov, M Gyllenberg
core
Sample-path large deviations for tandem and priority queues with Gaussian inputs. [PDF]
, 2005 . This paper considers Gaussian flows multiplexed in a queueing network. A single node being a useful but often incomplete setting, we examine more advanced models. We focus on a (two-node) tandem queue, fed by a large number of Gaussian inputs.
van Uitert, Miranda +6 more
core +3 more sources
Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models [PDF]
, 2014 . The purpose of this paper is to investigate the deviation inequalities and the moderate deviation principle of the least squares estimators of the unknown parameters of general pth-order asymmetric bifurcating autoregressive processes, under suitable ...
S Valère +2 more
core