| Article ID: | iaor20082052 |
| Country: | Netherlands |
| Volume: | 35 |
| Issue: | 2 |
| Start Page Number: | 251 |
| End Page Number: | 260 |
| Publication Date: | Mar 2007 |
| Journal: | Operations Research Letters |
| Authors: | Juneja Sandeep, Zeevi Assaf, Bassamboo Achal |
This paper proves that there does not exist an asymptotically optimal state-independent change-of-measure for estimating the probability that a random walk with heavy-tailed increments exceeds a ‘high’ threshold before going below zero. Explicit bounds are given on the best asymptotic variance reduction that can be achieved by state-independent schemes.