8 citations · 20 across the 9 of their papers we have counts for
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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…