Jeffrey F. Collamore
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0001-6372-8152
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Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.
Collamore, Jeffrey F., 2002, In: Annals of Applied Probability. 12, 1, p. 382-421 40 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 7871
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Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.
Research output: Contribution to journal › Journal article › Research › peer-review
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Exact asymptotics for a large deviations problem for the GI/G/1 queue
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Large deviation tail estimates and related limit laws for stochastic fixed point equations
Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
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