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Results: 5
Number of items: 5
  • Open Access
    Bisewski, K. L., Dębicki, K., & Mandjes, M. R. H. (2021). Bounds for expected supremum of fractional Brownian motion with drift. Journal of Applied Probability, 58(2), 411-427. https://doi.org/10.1017/jpr.2020.98
  • Bisewski, K., Crommelin, D., & Mandjes, M. (2019). Rare event simulation for steady-state probabilities via recurrency cycles. Chaos, 29(3), Article 033131. https://doi.org/10.1063/1.5080296
  • Open Access
    Bisewski, K. L. (2019). Rare event simulation and time discretization. [Thesis, fully internal, Universiteit van Amsterdam].
  • Bisewski, K., Crommelin, D., & Mandjes, M. (2018). Controlling the time discretization bias for the supremum of brownian motion. ACM Transactions on Modeling and Computer Simulation, 28(3), Article 24. https://doi.org/10.1145/3177775
  • Bisewski, K., Crommelin, D., & Mandjes, M. (2018). Simulation-based assessment of the stationary tail distribution of a stochastic differential equation. In M. Rabe, A. A. Juan, N. Mustafee, A. Skoogh, S. Jain, & B. Johansson (Eds.), WSC'18: proceedings of the 2018 Winter Simulation Conference, December 9-12, 2018, Gothenburg, Sweden : Simulation for a noble cause (pp. 1742-1753). (Proceedings of the Winter Simulation Conference; Vol. 2018). IEEE. https://doi.org/10.1109/WSC.2018.8632197
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