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Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall - MaRDI portal

Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (Q5131004)

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scientific article; zbMATH DE number 7268660
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English
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
scientific article; zbMATH DE number 7268660

    Statements

    title
    Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall (English)
    0 references
    DOI
    10.1090/mcom/3555
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    author
    Zhijian He
    0 references
    Xiaoqun Wang
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    publication date
    31 October 2020
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    Mathematics Subject Classification ID
    65C05
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    65D30
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    91G70
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    zbMATH DE Number
    7268660
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    zbMATH Keywords
    quasi-Monte Carlo method
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    expected shortfall
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    conditional value-at-risk
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    OpenAlex ID
    W3023582532
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    arXiv ID
    1706.00540
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    cites work
    Q3160669
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    Q3137759
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    Q4003879
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    Q4856469
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    Q2724706
    0 references
    Q2772105
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