35 citations · 41 across the 11 of their papers we have counts for
5 papers · 1 filter
Central Limit Theorem for the -antithetic multilevel Monte Carlo method
Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo
In this paper, we introduce the -antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLM…
Local asymptotic properties for the growth rate of a jump-type CIR process
Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap +1
In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is an unknown parameter. Conside…
Improved adaptive Multilevel Monte Carlo and applications to finance
Mohamed Ben Alaya, Kaouther Hajji, Ahmed Kebaier
This paper focuses on the study of an original combination of the Multilevel Monte Carlo method introduced by Giles [10] and the popular importance sampling technique. To compute t…
Central limit theorem for the multilevel Monte Carlo Euler method
Mohamed Ben Alaya, Ahmed Kebaier
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classica…
Importance Sampling and Statistical Romberg Method for Lévy Processes
M. Ben Alaya, K. Hajji, A. Kebaier
An important family of stochastic processes arising in many areas of applied probability is the class of Lévy processes. Generally, such processes are not simulatable especially fo…