Seminar 217, Risk Management:Dynamic Importance Sampling for Compound Point Processes

Seminar 217, Risk Management:Dynamic Importance Sampling for Compound Point Processes

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Apr 5, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Alex Shkolnik, UC Berkeley (Speaker - Featured)
We develop efficient importance sampling estimators of certain rare event probabilities involving compound point processes. Our approach is based on the state-dependent techniques developed in (Dupuis & Wang 2004) and subsequent work. The design of the estimators departs from past literature to accommodate the point process setting.