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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

Philipp Arbenz Department of Mathematics, ETH Zurich, 8092, Zurich, SwitzerlandCorrespondence[email protected]
,
Paul Embrechts Swiss Finance Institute, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
&
Giovanni Puccetti Department of Mathematics for Decisions, University of Firenze, 50134, Firenze, Italy
Pages 569-597 | Received 02 Sep 2010, Accepted 22 Feb 2011, Published online: 04 Oct 2011

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