3 papers
q-fin.CP2021
Adaptive Multilevel Monte Carlo for Probabilities
Abdul-Lateef Haji-Ali, Jonathan Spence, Aretha Teckentrup
We consider the numerical approximation of where the -dimensional random variable cannot be sampled directly, but there is a hierarchy of increasingly a…
stat.CO2021
Efficient Importance Sampling for Large Sums of Independent and Identically Distributed Random Variables
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Gerardo Rubino +1
We discuss estimating the probability that the sum of nonnegative independent and identically distributed random variables falls below a given threshold, i.e., $\mathbb{P}(\sum_{i=…
q-fin.CP2018
Multilevel nested simulation for efficient risk estimation
Michael B. Giles, Abdul-Lateef Haji-Ali
We investigate the problem of computing a nested expectation of the form where is t…