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Methods of efficient Monte-Carlo simulation when rare events are involved have been studied for several decades. Rare events are very important in the context o

Methods of efficient Monte-Carlo simulation when rare events are involved have been studied for several decades. Rare events are very important in the context o

Rare-event simulation concerns computing small probabilities, i.e. rare-event probabilities. This dissertation investigates efficient simulation algorithms base

We consider rare events modeled as a Markov Chain hitting a certain rare set. A sequential importance sampling with resampling (SISR) method is introduced to pr