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math.NA2026
Nested Multilevel Monte Carlo with Preintegration for Efficient Risk Estimation
Yu Xu, Xiaoqun Wang
Nested Monte Carlo is widely used for risk estimation, but its efficiency is limited by the discontinuity of the indicator function and high computational cost. This paper proposes…
math.NA2026
Importance sampling and active subspace in quasi-Monte Carlo
Jiaxin Yu, Xiaoqun Wang
The quasi-Monte Carlo method is widely used in computational finance, whose efficiency strongly depends on the smoothness and effective dimension of the integrand. In this work, we…
math.NA2025
A median QMC method for unbounded integrands over in weighted unanchored Sobolev spaces
Ziyang Ye, Josef Dick, Xiaoqun Wang
This paper investigates quasi-Monte Carlo (QMC) integration of Lebesgue integrable functions with respect to a density function over . We extend the construction-free…