Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
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Publication:6087955
DOI10.1016/j.jcp.2023.112523arXiv2210.03485OpenAlexW4387410882MaRDI QIDQ6087955
Publication date: 16 November 2023
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2210.03485
gradient descentuncertainty quantificationCVaRmultilevel Monte Carlo methodsVaRoptimisation under uncertainty
Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)
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