Abstract
In this paper we study rare event simulation for the tail probability of an affine point process that generalizes the Hawkes process. By constructing a suitable exponential martingale, we are able to construct an importance sampling algorithm that is logarithmically efficient in the Gartner-Ellis asymptotic regime.
Type
Publication
Proceedings of the 2009 Winter Simulation Conference, 1291–1298
Xiaowei Zhang
Associate Professor
My research research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, financial technology, and digital economy.