@inproceedings{0a676f8836f647f381b724973b5409dc,
title = "Rare-Event Simulation for Multiple Jump Events in Heavy-Tailed L{\'e}vy Processes with Infinite Activities",
abstract = "In this paper we address the problem of rare-event simulation for heavy-tailed L{\'e}vy processes with infinite activities. We propose a strongly efficient importance sampling algorithm that builds upon the sample path large deviations for heavy-tailed L{\'e}vy processes, stick-breaking approximation of extrema of L{\'e}vy processes, and the randomized debiasing Monte Carlo scheme. The proposed importance sampling algorithm can be applied to a broad class of L{\'e}vy processes and exhibits significant improvements in efficiency when compared to crude Monte-Carlo method in our numerical experiments.",
author = "Xingyu Wang and Rhee, {Chang Han}",
note = "Publisher Copyright: {\textcopyright} 2020 IEEE.; 2020 Winter Simulation Conference, WSC 2020 ; Conference date: 14-12-2020 Through 18-12-2020",
year = "2020",
month = dec,
day = "14",
doi = "10.1109/WSC48552.2020.9383865",
language = "English (US)",
series = "Proceedings - Winter Simulation Conference",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "409--420",
editor = "K.-H. Bae and B. Feng and S. Kim and S. Lazarova-Molnar and Z. Zheng and T. Roeder and R. Thiesing",
booktitle = "Proceedings of the 2020 Winter Simulation Conference, WSC 2020",
address = "United States",
}