{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,5,13]],"date-time":"2025-05-13T21:49:35Z","timestamp":1747172975333,"version":"3.40.5"},"reference-count":6,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2022,2,8]],"date-time":"2022-02-08T00:00:00Z","timestamp":1644278400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["cambridge.org"],"crossmark-restriction":true},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2022,6]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We consider a continuous Gaussian random field living on a compact set <jats:inline-formula><jats:alternatives><jats:inline-graphic xmlns:xlink=\"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/http\/www.w3.org\/1999\/xlink\" mime-subtype=\"png\" xlink:href=\"S0021900221000577_inline1.png\"\/><jats:tex-math>\n$T\\subset \\mathbb{R}^{d}$\n<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>. We are interested in designing an asymptotically efficient estimator of the probability that the integral of the exponential of the Gaussian process over <jats:italic>T<\/jats:italic> exceeds a large threshold <jats:italic>u<\/jats:italic>. We propose an Asmussen\u2013Kroese conditional Monte Carlo type estimator and discuss its asymptotic properties according to the assumptions on the first and second moments of the Gaussian random field. We also provide a simulation study to illustrate its effectiveness and compare its performance with the importance sampling type estimator of Liu and Xu (2014a).<\/jats:p>","DOI":"10.1017\/jpr.2021.57","type":"journal-article","created":{"date-parts":[[2022,2,8]],"date-time":"2022-02-08T08:16:28Z","timestamp":1644308188000},"page":"366-383","update-policy":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":1,"title":["Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields"],"prefix":"10.1017","volume":"59","author":[{"given":"Quang Huy","family":"Nguyen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/orcid.org\/0000-0002-1562-5658","authenticated-orcid":false,"given":"Christian Y.","family":"Robert","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2022,2,8]]},"reference":[{"key":"S0021900221000577_ref2","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-69033-9"},{"key":"S0021900221000577_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/j.cam.2012.11.025"},{"key":"S0021900221000577_ref5","doi-asserted-by":"publisher","DOI":"10.1145\/2567892"},{"key":"S0021900221000577_ref6","doi-asserted-by":"publisher","DOI":"10.1214\/13-AAP960"},{"key":"S0021900221000577_ref4","doi-asserted-by":"publisher","DOI":"10.1214\/10-AOP639"},{"key":"S0021900221000577_ref1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-009-0658-5"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900221000577","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,6,24]],"date-time":"2022-06-24T09:45:46Z","timestamp":1656063946000},"score":1,"resource":{"primary":{"URL":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/www.cambridge.org\/core\/product\/identifier\/S0021900221000577\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,2,8]]},"references-count":6,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["S0021900221000577"],"URL":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/doi.org\/10.1017\/jpr.2021.57","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"type":"print","value":"0021-9002"},{"type":"electronic","value":"1475-6072"}],"subject":[],"published":{"date-parts":[[2022,2,8]]},"assertion":[{"value":"\u00a9 The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust","name":"copyright","label":"Copyright","group":{"name":"copyright_and_licensing","label":"Copyright and Licensing"}}]}}