Rare Event Simulation for Processes with Light Tailed Increments

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• Dr Thomas A Dean, Signal Processing and Communications Laboratory, CUED
• Wednesday 07 October 2009, 14:15-15:15
• LR4, Engineering, Department of.

If you have a question about this talk, please contact Rachel Fogg.

There is currently much interest in developing Monte Carlo methods for computing small probabilities. I will give a brief outline of some recent developments in the case when the probabilities of interest obey a large deviations rule.

This talk is part of the Signal Processing and Communications Lab Seminars series.

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