Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function

DOI10.1023/A:1019211000153zbMath0973.65006OpenAlexW200336680MaRDI QIDQ5933851

Tamás Szántai

Publication date: 14 June 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1019211000153

zbMATH Keywords

Monte Carlo simulationvariance reductionmultivariate normal probability distribution functionprobability bounds

Mathematics Subject Classification ID

Related Items (14)

On the relationship between the discrete and continuous bounding moment problems and their numerical solutions ⋮ An integer programming approach for linear programs with probabilistic constraints ⋮ Fast computation of high-dimensional multivariate normal probabilities ⋮ Computing bounds for the probability of the union of events by different methods ⋮ Optimization of a continuous distillation process under random inflow rate. ⋮ Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions ⋮ On numerical calculation of probabilities according to Dirichlet distribution ⋮ Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence ⋮ Cell-and-bound algorithm for chance constrained programs with discrete distributions ⋮ On the analytical–numerical valuation of the Bermudan and American options ⋮ On probabilistic constraints induced by rectangular sets and multivariate normal distributions ⋮ Targeting Kollo skewness with random orthogonal matrix simulation ⋮ Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations ⋮ Multi-stage stochastic optimization: the distance between stochastic scenario processes

Uses Software

• AS 195

This page was built for publication: Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function