Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks

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• 作者：Jose Blanchet^a ; Jingchen Liu^b ; ^{jcliu@stat.columbia.edu}
• 关键词：Conditional distribution ; Heavy-tailed distribution ; Change of measure ; Rare-event simulation
• 刊名：Stochastic Processes and their Applications
• 出版年：2012
• 期刊代码：57_03044149
• 类别：mt
• 出版时间：August, 2012
• 卷：122
• 期：8
• 页码：2994-3031
• 文件大小：333 K

摘要

The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed random walks. Our changes of measures are parameterized by a family of distributions admitting a mixture form. We exploit our methodology to achieve two types of results. First, we construct Monte Carlo estimators that are strongly efficient (i.e. have bounded relative mean squared error as the event of interest becomes rare). These estimators are used to estimate both rare-event probabilities of interest and associated conditional expectations. We emphasize that our techniques allow us to control the expected termination time of the Monte Carlo algorithm even if the conditional expected stopping time (under the original distribution) given the event of interest is infinity-a situation that sometimes occurs in heavy-tailed settings. Second, the mixture family serves as a good Markovian approximation (in total variation) of the conditional distribution of the whole process given the rare event of interest. The convenient form of the mixture family allows us to obtain functional conditional central limit theorems that extend classical results in the literature.