2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2016★ 2 cited
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…
math.PR2014
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…