Efficient Simulation for Expectations over the Union of Half-Spaces
Efficient Simulation for Expectations over the Union of Half-Spaces
复制标题
半空间并集期望的有效模拟
DOI：
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发表时间：
2018
影响因子：
0.9
通讯作者：
K. Kim
中科院分区：
文献类型：
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作者：
Dohyun Ahn;K. Kim
我们考虑的问题估计的期望在联盟的半空间。这样的问题出现在许多应用中，如期权定价和随机活动网络。最近的应用包括金融网络的系统性风险度量。假设随机变量服从多元椭圆分布，我们提出了一种条件蒙特卡罗方法，并证明了它的渐近有效性。然后，我们证明了所提出的方法在三个不同的应用领域的数值性能。
We consider the problem of estimating expectations over the union of half-spaces. Such a problem arises in many applications such as option pricing and stochastic activity networks. More recent applications include systemic risk measurements of financial networks. Assuming that random variables follow a multivariate elliptical distribution, we develop a conditional Monte Carlo method and prove its asymptotic efficiencies. We then demonstrate the numerical performance of the proposed method in three different application areas.