Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling (Q3654434): Difference between revisions

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+.3381
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+Adaptative Monte Carlo Method, A Variance Reduction Technique
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+Coherent Measures of Risk
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+Stochastic approximation with two time scales
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+Non-Linear Value-at-Risk *
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+Analytical value-at-risk with jumps and credit risk
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+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
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+Counterexamples in importance sampling for large deviations probabilities
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+Acceleration of Stochastic Approximation by Averaging
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+Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
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+Convergence rate of linear two-time-scale stochastic approximation.
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+Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm
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+Strong convergence of a stochastic approximation algorithm
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+Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms
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