RARE EVENT SIMULATION FOR PROCESSES GENERATED VIA STOCHASTIC FIXED POINT EQUATIONS

作者：Collamore Jeffrey F^*; Dia Guoqing; Vidyashankar Anand N

来源：Annals of Applied Probability, 2014, 24(5): 2143-2175.

DOI：10.1214/13-AAP974

• Monte Carlo methods
• importance sampling
• perpetuities
• large deviations
• nonlinear renewal theory
• Harris recurrent Markov chains
• first entrance times
• last exit times
• regeneration times
• financial time series
• GARCH processes
• ARCH processes
• risk theory
• ruin theory
• with stochastic investments

In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional equation v f (V), where f (v) = A max{v, D} B for (A, B, D) epsilon (0, infinity) X R-2. This paper is concerned with computational methods for evaluating these tail probabilities. We introduce a novel importance sampling algorithm, involving an exponential shift over a random time interval, for estimating these rare event probabilities. We prove that the proposed estimator is: (i) consistent, (ii) strongly efficient and (hi) optimal within a wide class of dynamic importance sampling estimators. Moreover, using extensions of ideas from nonlinear renewal theory, we provide a precise description of the running time of the algorithm. To establish these results, we develop new techniques concerning the convergence of moments of stopped perpetuity sequences, and the first entrance and last exit times of associated Markov chains on R. We illustrate our methods with a variety of numerical examples which demonstrate the ease and scope of the implementation.

• 出版日期2014-10