On the efficient simulation of the left-tail of the sum of correlated log-normal variates
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Publication:1637513
DOI10.1515/mcma-2018-0009zbMath1391.65006arXiv1705.07635OpenAlexW2963732797WikidataQ59703623 ScholiaQ59703623MaRDI QIDQ1637513
Nadhir Ben Rached, Mohamed-Slim Alouini, Abla Kammoun, Raúl Tempone
Publication date: 8 June 2018
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.07635
importance samplingcontrol variatevariance reduction techniquesasymptotically vanishing relative errorleft-tail of the sum of correlated log-normal variatessmall probability valuessum of correlated log-normal
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On the efficient simulation of the left-tail of the sum of correlated log-normal variates, Efficient algorithms for tail probabilities of exchangeable lognormal sums, Efficient importance sampling for large sums of independent and identically distributed random variables
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