35 citations · 36 across the 3 of their papers we have counts for
2 papers
math.PR2015★ 35 cited
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…
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…