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q-fin.RM2019★ 3 cited
Online Quantification of Input Model Uncertainty by Two-Layer Importance Sampling
Tianyi Liu, Enlu Zhou
Stochastic simulation has been widely used to analyze the performance of complex stochastic systems and facilitate decision making in those systems. Stochastic simulation is driven…
q-fin.RM2015
Risk Quantification in Stochastic Simulation under Input Uncertainty
Helin Zhu, Tianyi Liu, Enlu Zhou
When simulating a complex stochastic system, the behavior of output response depends on input parameters estimated from finite real-world data, and the finiteness of data brings in…