25 citations · 48 across the 10 of their papers we have counts for
4 papers · 1 filter
An algorithm to compute the -value of a digital net and of its projections
Pierre Marion, Maxime Godin, Pierre L'Ecuyer
Digital nets are among the most successful methods to construct low-discrepancy point sets for quasi-Monte Carlo integration. Their quality is traditionally assessed by a measure c…
Sampling Conditionally on a Rare Event via Generalized Splitting
Zdravko I. Botev, Pierre L'Ecuyer
We propose and analyze a generalized splitting method to sample approximately from a distribution conditional on the occurrence of a rare event. This has important applications in…
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…
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…