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12-103/III - Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques


  • Authors
    Ad Ridder, VU University Amsterdam; Bruno Tuffin, Inria Rennes Bretagne Atlantique
  • Publication date
    October 1, 2012
  • Keywords
    Rare event probability, Importance sampling, Probabilistic robustness, Markov chains
  • JEL
    C6