Explicit computation of second-order moments of importance sampling estimators for fractional Brownian motion
Baldi, Paolo ; Pacchiarotti, Barbara
Bernoulli, Tome 12 (2006) no. 2, p. 663-688 / Harvested from Project Euclid
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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.
Publié le : 2006-08-14
Classification:  Gaussian processes,  importance sampling,  large deviations,  ruin probabilities 
@article{1155735931,
     author = {Baldi, Paolo and Pacchiarotti, Barbara},
     title = {Explicit computation of second-order moments of importance sampling estimators for fractional Brownian motion},
     journal = {Bernoulli},
     volume = {12},
     number = {2},
     year = {2006},
     pages = { 663-688},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1155735931}
}

Baldi, Paolo; Pacchiarotti, Barbara. Explicit computation of second-order moments of importance sampling estimators for fractional Brownian motion. Bernoulli, Tome 12 (2006) no. 2, pp.  663-688. http://gdmltest.u-ga.fr/item/1155735931/