On the efficient simulation of the left-tail of the sum of correlated log-normal variates (Q1637513)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the efficient simulation of the left-tail of the sum of correlated log-normal variates |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the efficient simulation of the left-tail of the sum of correlated log-normal variates |
scientific article |
Statements
On the efficient simulation of the left-tail of the sum of correlated log-normal variates (English)
0 references
8 June 2018
0 references
sum of correlated log-normal
0 references
small probability values
0 references
variance reduction techniques
0 references
left-tail of the sum of correlated log-normal variates
0 references
importance sampling
0 references
control variate
0 references
asymptotically vanishing relative error
0 references
0 references
