On the efficient simulation of the left-tail of the sum of correlated log-normal variates (Q1637513)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the efficient simulation of the left-tail of the sum of correlated log-normal variates |
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On the efficient simulation of the left-tail of the sum of correlated log-normal variates (English)
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8 June 2018
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sum of correlated log-normal
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small probability values
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variance reduction techniques
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left-tail of the sum of correlated log-normal variates
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importance sampling
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control variate
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asymptotically vanishing relative error
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