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aug 2006 Explicit computation of second-order moments of importance sampling estimators for fractional Brownian motion
Paolo Baldi, Barbara Pacchiarotti
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Bernoulli 12(4): 663-688 (aug 2006). DOI: 10.3150/bj/1155735931

Abstract

We study a family of importance sampling estimators of the probability of level crossing when the crossing level is large or the intensity of the noise is small. We develop a method which gives explicitly the asymptotics of the second-order moment. Some of the results apply to fractional Brownian motion, some are more general. The main tools are refined versions of classical large-deviations results.

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Paolo Baldi. Barbara Pacchiarotti. "Explicit computation of second-order moments of importance sampling estimators for fractional Brownian motion." Bernoulli 12 (4) 663 - 688, aug 2006. https://doi.org/10.3150/bj/1155735931

Information

Published: aug 2006
First available in Project Euclid: 16 August 2006

zbMATH: 1125.62085
MathSciNet: MR2248232
Digital Object Identifier: 10.3150/bj/1155735931

Keywords: Gaussian processes , importance sampling , large deviations , ruin probabilities

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

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Vol.12 • No. 4 • aug 2006
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