1.7k citations · 1.9k across the 17 of their papers we have counts for
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Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities
Zdravko I. Botev, Pierre L'Ecuyer, Bruno Tuffin
We consider a network whose links have random capacities and in which a certain target amount of flow must be carried from some source nodes to some destination nodes. Each destina…
On the Sum of Order Statistics and Applications to Wireless Communication Systems Performances
Nadhir Ben Rached, Zdravko Botev, Abla Kammoun +2
We consider the problem of evaluating the cumulative distribution function (CDF) of the sum of order statistics, which serves to compute outage probability (OP) values at the outpu…
Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model
Zdravko Botev, Robert Salomone, Daniel MacKinlay
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…
The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting
Z. I. Botev
Simulation from the truncated multivariate normal distribution in high dimensions is a recurrent problem in statistical computing, and is typically only feasible using approximate…
The Dynamic Splitting Method with an application to portfolio credit risk
Kevin Lam, Zdravko Botev
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly int…
Semiparametric Cross Entropy for rare-event simulation
Z. I. Botev, A. Ridder, L. Rojas-Nandayapa
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density…