On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws (Q5326124)
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scientific article; zbMATH DE number 6193379
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| English | On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws |
scientific article; zbMATH DE number 6193379 |
Statements
On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws (English)
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31 July 2013
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infinitely divisible random vectors
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Lévy processes
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Monte Carlo simulations
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variance reduction
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importance sampling
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quasi-Monte Carlo
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numerical results
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0.9147879481315612
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0.8586328029632568
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0.8071896433830261
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0.743625819683075
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