Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields

Authors:
Jingchen Liu;Gongjun Xu
Affiliations:
Columbia University and University of Minnesota;Columbia University and University of Minnesota
Venue:
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Year:
2014

Citing 3
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Abstract

In this article, we consider a Gaussian random field f(t) living on a compact set T⊂ Rd and the computation of the tail probabilities P(∫Tef(t)dt eb) as b → ∞. We design asymptotically efficient importance sampling estimators for a general class of Hölder continuous Gaussian random fields. In addition to the variance control, we also analyze the bias (relative to the interesting tail probabilities) caused by the discretization.