4 papers
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…
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…
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…
Density estimation via periodic scaled Korobov kernel method with exponential decay condition
Ziyang Ye, Haoyuan Tan, Xiaoqun Wang +1
We propose the periodic scaled Korobov kernel (PSKK) method for nonparametric density estimation on . By first wrapping the target density into a periodic version thr…