On the efficient simulation of the left-tail of the sum of correlated log-normal variates (Q1637513)
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scientific article; zbMATH DE number 6882437
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| English | On the efficient simulation of the left-tail of the sum of correlated log-normal variates |
scientific article; zbMATH DE number 6882437 |
Statements
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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0.8348881602287292
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0.7924771308898926
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0.7916387915611267
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0.7524552941322327
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0.7450399398803711
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