Rare-Event Simulation for Multiple Jump Events in Heavy-Tailed Lévy Processes with Infinite Activities

Xingyu Wang, Chang Han Rhee

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper we address the problem of rare-event simulation for heavy-tailed Lévy processes with infinite activities. We propose a strongly efficient importance sampling algorithm that builds upon the sample path large deviations for heavy-tailed Lévy processes, stick-breaking approximation of extrema of Lévy processes, and the randomized debiasing Monte Carlo scheme. The proposed importance sampling algorithm can be applied to a broad class of Lévy processes and exhibits significant improvements in efficiency when compared to crude Monte-Carlo method in our numerical experiments.

Original languageEnglish (US)
Title of host publicationProceedings of the 2020 Winter Simulation Conference, WSC 2020
EditorsK.-H. Bae, B. Feng, S. Kim, S. Lazarova-Molnar, Z. Zheng, T. Roeder, R. Thiesing
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages409-420
Number of pages12
ISBN (Electronic)9781728194998
DOIs
StatePublished - Dec 14 2020
Event2020 Winter Simulation Conference, WSC 2020 - Orlando, United States
Duration: Dec 14 2020Dec 18 2020

Publication series

NameProceedings - Winter Simulation Conference
Volume2020-December
ISSN (Print)0891-7736

Conference

Conference2020 Winter Simulation Conference, WSC 2020
CountryUnited States
CityOrlando
Period12/14/2012/18/20

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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