Computing the distribution of the sum of dependent random variables via overlapping hypercubes

DOI10.1007/S10203-015-0167-8zbMath1335.65015OpenAlexW1497940710MaRDI QIDQ894208

Marcello Galeotti

Publication date: 27 November 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/diseiwpme/dimadwp2014-01.pdf

zbMATH Keywords

algorithmself-similarityvalue-at-riskdependent random variablesalgorithm convergence

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Algorithms for approximation of functions (65D15) Combinatorics and topology in relation with holomorphic dynamical systems (37F20)

Cites Work

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• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• Coherent Measures of Risk
• The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

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