17 citations · 48 across the 14 of their papers we have counts for
6 papers · 1 filter
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
Filtered Markovian Projection: Dimensionality Reduction in Filtering for Stochastic Reaction Networks
Chiheb Ben Hammouda, Maksim Chupin, Sophia Münker +1
Stochastic reaction networks (SRNs) model stochastic effects for various applications, including intracellular chemical or biological processes and epidemiology. A typical challeng…
Automated Importance Sampling via Optimal Control for Stochastic Reaction Networks: A Markovian Projection-based Approach
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone +1
We propose a novel alternative approach to our previous work (Ben Hammouda et al., 2023) to improve the efficiency of Monte Carlo (MC) estimators for rare event probabilities for s…
Learning-Based Importance Sampling via Stochastic Optimal Control for Stochastic Reaction Networks
Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone +1
We explore efficient estimation of statistical quantities, particularly rare event probabilities, for stochastic reaction networks. Consequently, we propose an importance sampling…
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks
Chiheb Ben Hammouda, Nadhir Ben Rached, Raul Tempone
The multilevel Monte Carlo (MLMC) method for continuous-time Markov chains, first introduced by Anderson and Higham (SIAM Multiscal Model. Simul. 10(1), 2012), is a highly efficien…
Multilevel Hybrid Split-Step Implicit Tau-Leap
Chiheb Ben Hammouda, Alvaro Moraes, Raul Tempone
In biochemically reactive systems with small copy numbers of one or more reactant molecules, the dynamics is dominated by stochastic effects. To approximate those systems, discrete…