85 citations · 207 across the 20 of their papers we have counts for
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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=…
math.PR2021
Weak convergence analysis in the particle limit of the McKean--Vlasov equations using stochastic flows of particle systems
Abdul-Lateef Haji-Ali, Håkon Hoel, Raúl Tempone
We present a proof showing that the weak error of a system of interacting stochastic particles approximating the solution of the McKean-Vlasov equation is .…