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