Bucklew James Antonio. Introduction to Rare Event Simulation

Springer Science+ Business Media New York, 2004. — 262 p. — ISBN: 978-1-4419-1893-2.This book is an attempt to present a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of view of the probabilistic theory of large deviations. This framework allows us to view a vast assortment of simulation problems from a single unified perspective. It gives a great deal of insight into the fundamental nature of rare event simulation.