Research output per year
Research output per year
- 13 results
Search results
-
2023
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Ben Amar, E., Ben Rached, N., Haji-Ali, A-L. & Tempone, R., Apr 2023, In: Statistics and Computing. 33, 2, 40.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Downloads (Pure) -
2022
Adaptive Multilevel Monte Carlo for Probabilities
Haji-Ali, A-L., Spence, J. & Teckentrup, A., 2022, In: SIAM Journal on Numerical Analysis. 60, 4, p. 2125-2149 25 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Citations (Scopus)17 Downloads (Pure) -
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, M. B. & Haji-Ali, A-L., Jun 2022, In: Journal of Computational Finance. 26, 1, p. 113-140 28 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)3 Downloads (Pure) -
2021
Efficient importance sampling for large sums of independent and identically distributed random variables
Ben Rached, N., Haji-Ali, A-L., Rubino, G. & Tempone, R., Nov 2021, In: Statistics and Computing. 31, 6, 79.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Citations (Scopus)7 Downloads (Pure) -
2020
Multilevel weighted least squares polynomial approximation
Haji-Ali, A-L., Nobile, F., Tempone, R. & Wolfers, S., 3 Mar 2020, In: ESAIM: Mathematical Modelling and Numerical Analysis. 54, 2, p. 649-677Research output: Contribution to journal › Article › peer-review
Open AccessFile5 Citations (Scopus)41 Downloads (Pure) -
2019
Multilevel nested simulation for efficient risk estimation
Giles, M. B. & Haji-Ali, A-L., 2019, In: SIAM/ASA Journal on Uncertainty Quantification. 7, 2, p. 497–525 29 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile20 Citations (Scopus)158 Downloads (Pure) -
2018
Multilevel and Multi-index Monte Carlo methods for the McKean–Vlasov equation
Haji-Ali, A-L. & Tempone, R., 1 Jul 2018, In: Statistics and Computing. 28, 4, p. 923-935Research output: Contribution to journal › Article › peer-review
Open AccessFile13 Citations (Scopus)29 Downloads (Pure) -
Novel results for the anisotropic sparse grid quadrature
Haji-Ali, A-L., Harbrecht, H., Peters, M. D. & Siebenmorgen, M., 1 Aug 2018, In: Journal of Complexity. 47, p. 62-85Research output: Contribution to journal › Article › peer-review
File16 Citations (Scopus)18 Downloads (Pure) -
2016
Multi-index Monte Carlo: when sparsity meets sampling
Haji-Ali, A-L., Nobile, F. & Tempone, R., 1 Apr 2016, In: Numerische Mathematik. 132, 4, p. 767-806Research output: Contribution to journal › Article › peer-review
80 Citations (Scopus) -
Multi-index Stochastic Collocation Convergence Rates for Random PDEs with Parametric Regularity
Haji-Ali, A-L., Nobile, F., Tamellini, L. & Tempone, R., 1 Dec 2016, In: Foundations of Computational Mathematics. 16, 6, p. 1555-1605Research output: Contribution to journal › Article › peer-review
16 Citations (Scopus) -
Multi-Index Stochastic Collocation for random PDEs
Haji-Ali, A-L., Nobile, F., Tamellini, L. & Tempone, R., 1 Jul 2016, In: Computer Methods in Applied Mechanics and Engineering. 306, p. 95-122Research output: Contribution to journal › Article › peer-review
37 Citations (Scopus) -
Optimization of mesh hierarchies in multilevel Monte Carlo samplers
Haji-Ali, A-L., Nobile, F., von Schwerin, E. & Tempone, R., 1 Mar 2016, In: Stochastics and Partial Differential Equations: Analysis and Computations. 4, 1, p. 76-112Research output: Contribution to journal › Article › peer-review
29 Citations (Scopus) -
2015
A continuation multilevel Monte Carlo algorithm
Collier, N., Haji-Ali, A-L., Nobile, F., von Schwerin, E. & Tempone, R., 1 Jun 2015, In: BIT Numerical Mathematics. 55, 2, p. 399-432Research output: Contribution to journal › Article › peer-review
71 Citations (Scopus)