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Using Regenerative simulation to Calibrate exponential Approximations to Risk Measures of Hitting times to rarely Visited Sets

Peter W. Glynn, Marvin K. Nakayama, Bruno Tuffin. Using Regenerative simulation to Calibrate exponential Approximations to Risk Measures of Hitting times to rarely Visited Sets. In 2018 Winter Simulation Conference, WSC 2018, Gothenburg, Sweden, December 9-12, 2018. pages 1802-1813, IEEE, 2018. [doi]

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