Seminario del 2018
Novembre
07
2018
Claudio Macci, Dipartimento di Matematica, Università di Roma Tor Vergata
nell'ambito della serie: SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA
Seminario di probabilità
We consider sequences of partial sums of
iid Gaussian random sets (with respect to the Minkowski sum)
and we study the asymptotic behavior of some hitting
probabilities (of suitable sets of $R^d$) for these partial
sums. We also illustrate the use of the importance sampling
for the estimation of these hitting probabilities by Monte
Carlo simulations. We obtain the analog of well-known
results for level crossing probabilities of random walks,
and we refer to a version of the classical Cramér's Theorem
in large deviations for random compact sets existing in the
literature. Joint work with Barbara Pacchiarotti.