On Conditional Monte Carlo Estimation of Rare Events in Gaussian Queuing Systems
Олег Лукашенко, Evsey V. Morozov, Michele Pagano · CINECA IRIS Institutial research information system (University of Pisa) · 2015
We study the estimation of the probability Gaussian process being “above the diagonal” over long time interval [0; T]. This event becomes rare when T grows, hence standard Monte Carlo requires a large number of generated sample paths. We discuss the application of well-known conditional Monte Carlo method for variance reduction of the target probability estimator.