Related papers: Statistical Romberg extrapolation: A new variance …
We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price models driven by L\'evy processes, extending earlier works…
This paper investigates theoretical and methodological foundations for stochastic optimal control (SOC) in discrete time. We start formulating the control problem in a general dynamic programming framework, introducing the mathematical…
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric choice of the proposal. This article proposes an algorithm…
We introduce a Monte Carlo Virtual Element estimator based on Virtual Element discretizations for stochastic elliptic partial differential equations with random diffusion coefficients. We prove estimates for the statistical approximation…
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We…
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is based on the criterion of minimizing the variance of the…
We investigate the properties of a sequential Monte Carlo method where the particle weight that appears in the algorithm is estimated by a positive, unbiased estimator. We present broadly-applicable convergence results, including a central…
We describe an embarrassingly parallel, anytime Monte Carlo method for likelihood-free models. The algorithm starts with the view that the stochasticity of the pseudo-samples generated by the simulator can be controlled externally by a…
This chapter presents some numerical methods to solve problems in the fractional calculus of variations and fractional optimal control. Although there are plenty of methods available in the literature, we concentrate mainly on approximating…
In a wide range of statistical learning problems such as ranking, clustering or metric learning among others, the risk is accurately estimated by $U$-statistics of degree $d\geq 1$, i.e. functionals of the training data with low variance…
Option valuation problems are often solved using standard Monte Carlo (MC) methods. These techniques can often be enhanced using several strategies especially when one discretizes the dynamics of the underlying asset, of which we assume…
This work introduces meta estimators that combine multiple multifidelity techniques based on control variates, importance sampling, and information reuse to yield a quasi-multiplicative amount of variance reduction. The proposed meta…
Monte Carlo methods are widely used importance sampling techniques for studying complex physical systems. Integrating these methods with deep learning has significantly improved efficiency and accuracy in high-dimensional problems and…
We study an optimal control problem under uncertainty, where the target function is the solution of an elliptic partial differential equation with random coefficients, steered by a control function. The robust formulation of the…
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at $m$ fixed dates. Our approach yields unbiased estimators with standard deviation $O(\epsilon)$ in $O(m + (1/\epsilon)^{2})$ expected…
Multi-fidelity methods that use an ensemble of models to compute a Monte Carlo estimator of the expectation of a high-fidelity model can significantly reduce computational costs compared to single-model approaches. These methods use oracle…
This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational…
We report an essential improvement of the plain Fourier Monte Carlo algorithm that promises to be a powerful tool for investigating critical behavior in a large class of lattice models, in particular those containing microscopic or…
In this study, we employ Euler's method and Richardson's extrapolation to solve a triple integral, which is then transformed into a third-order initial value problem. Our objective is to resolve the computational challenges associated with…
Consider a process, stochastic or deterministic, obtained by using a numerical integration scheme, or from Monte-Carlo methods involving an approximation to an integral, or a Newton-Raphson iteration to approximate the root of an equation.…