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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

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Pages 569-597 | Received 02 Sep 2010, Accepted 22 Feb 2011, Published online: 04 Oct 2011

References

  • P. Arbenz, P. Embrechts, and G. Puccetti, The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables, preprint (2011), forthcoming in Bernoulli
  • Mattila , P. 1995 . Geometry of Sets and Measures in Euclidean Spaces: Fractals and Rectifiability , Cambridge : Cambridge University Press .
  • Nelsen , R.B. 2006 . An Introduction to Copulas , 2nd ed. , New York : Springer .
  • Niederreiter , H. 1992 . Random Number Generation and Quasi-Monte Carlo Methods , Philadelphia, PA : Society for Industrial Mathematics .

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