Many complex systems can be modeled via Markov jump processes. Applications include chemical reactions, population dynamics, and telecommunication networks. Rare-event estimation for such models can ...

We develop a variance reduction technique, based on importance sampling in con- junction with the stochastic Robbins–Monro algorithm, for option prices of jump– diffusion models with stochastic ...

Monte Carlo importance sampling for evaluating numerical integration is discussed. We consider a parametric family of sampling distributions and propose the use of the sampling distribution estimated ...