
Variance Reduction with ArrayRQMC for TauLeaping Simulation of Stochastic Biological and Chemical Reaction Networks
We explore the use of ArrayRQMC, a randomized quasiMonte Carlo method ...
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An algorithm to compute the tvalue of a digital net and of its projections
Digital nets are among the most successful methods to construct lowdisc...
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Sampling Conditionally on a Rare Event via Generalized Splitting
We propose and analyze a generalized splitting method to sample approxim...
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Monte Carlo and QuasiMonte Carlo Density Estimation via Conditioning
Estimating the unknown density from which a given independent sample ori...
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ArrayRQMC for option pricing under stochastic volatility models
ArrayRQMC has been proposed as a way to effectively apply randomized qu...
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Density estimation by Randomized QuasiMonte Carlo
We consider the problem of estimating the density of a random variable X...
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Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities
We consider a network whose links have random capacities and in which a ...
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Pierre L'Ecuyer
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