Multilevel Nested Simulation for Efficient Risk Estimation (Q5228366)

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scientific article; zbMATH DE number 7091917
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Multilevel Nested Simulation for Efficient Risk Estimation
scientific article; zbMATH DE number 7091917

    Statements

    title
    Multilevel Nested Simulation for Efficient Risk Estimation (English)
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    author
    Michael B. Giles
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    Abdul-Lateef Haji-Ali
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    publication date
    12 August 2019
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    zbMATH Keywords
    Monte Carlo
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    nested simulation
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    risk estimation
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    multilevel Monte Carlo
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    Identifiers

    DOI
    10.1137/18M1173186
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G70
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    91G10
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    zbMATH DE Number
    7091917
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    arXiv ID
    1802.05016
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    OpenAlex ID
    W2962965244
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