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20182022
most citedConstruction-free median quasi-Monte Carlo rules for function spaces with unspecified smoothness and general weights

25 citations · 48 across the 10 of their papers we have counts for

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Showing 2019 · math.STShow all

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math.ST2019★ 4 cited

Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning

Pierre L'Ecuyer, Florian Puchhammer, Amal Ben Abdellah

Estimating the unknown density from which a given independent sample originates is more difficult than estimating the mean, in the sense that for the best popular non-parametric de…

math.ST2019

Array-RQMC for option pricing under stochastic volatility models

Amal Ben Abdellah, Pierre L'Ecuyer, Florian Puchhammer

Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to estimate an expected c…