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Monte Carlo Methods and Applications, ISSN 0929-9629, 12/2017, Volume 23, Issue 4, pp. 241 - 263
We propose a new numerical scheme for Backward Stochastic Differential Equations (BSDEs) based on branching processes. We approximate an arbitrary (Lipschitz)... 
Monte Carlo methods | 60J85 | 60J60 | branching process | 65C05 | BSDE | 60H35 | Stochastic differential equations | Approximation theory | Polynomials | Branching processes | Analysis | Branching (mathematics) | Computer simulation | Picard iterations | Mathematical analysis | Differential equations | Markov processes | Random variables | Iterative methods | Probability | Mathematics
Journal Article
Annals of Statistics, ISSN 0090-5364, 08/2006, Volume 34, Issue 4, pp. 1581 - 1619
Journal Article
Chaos: An Interdisciplinary Journal of Nonlinear Science, ISSN 1054-1500, 06/2019, Volume 29, Issue 6, p. 063107
We propose an adaptive importance sampling scheme for the simulation of rare events when the underlying dynamics is given by diffusion. The scheme is based on... 
MATHEMATICS, APPLIED | STOCHASTIC DIFFERENTIAL-EQUATIONS | RISK-SENSITIVE CONTROL | PHYSICS, MATHEMATICAL | LARGE DEVIATIONS
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 11/2005, Volume 15, Issue 4, pp. 2422 - 2444
Journal Article
SIAM Journal on Numerical Analysis, ISSN 0036-1429, 1/2008, Volume 46, Issue 3, pp. 1519 - 1553
Journal Article
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 02/2017, Volume 46, Issue 2, pp. 1611 - 1627
A characterization of Burr Type III and Type XII distributions based on the method of percentiles (MOP) is introduced and contrasted with the method of... 
Method of Percentiles | Method of Moments | Primary 62E17, 62F40, 62G05, 62G09, 62H05, 62H10, 62H12, 62H20; Secondary 65C05 | Monte Carlo Simulation | 62G05 | 62H05 | Primary 62E17 | Secondary 65C05 | 62G09 | STATISTICS & PROBABILITY | RELIABILITY | 62F40 | 62H20 | 62H10 | 62H12 | STANDS | Monte Carlo simulation | Fittings | Correlation | Computer simulation | Methodology | Efficiency | Computation | Bias | Burrs
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 6/2012, Volume 22, Issue 3, pp. 1167 - 1214
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 03/2019, Volume 48, Issue 5, pp. 1166 - 1176
This paper investigates a class of location invariant non-positive moment-type estimators of extreme value index, which is highly flexible due to the tuning... 
Bootstrap methodology | Primary 60G70 | Extreme value statistics | Secondary 65C05 | Extreme value index | Location-invariant moment-type estimation
Journal Article
Communications in Statistics - Simulation and Computation, ISSN 0361-0918, 05/2017, Volume 46, Issue 5, pp. 3990 - 4003
Journal Article
Mathematics of Operations Research, ISSN 0364-765X, 11/2019
Journal Article
The Annals of Statistics, ISSN 0090-5364, 2/2007, Volume 35, Issue 1, pp. 420 - 448
Journal Article
The Annals of Statistics, ISSN 0090-5364, 4/2010, Volume 38, Issue 2, pp. 1244 - 1278
Journal Article
SIAM Journal on Numerical Analysis, ISSN 0036-1429, 1/2007, Volume 45, Issue 5, pp. 2141 - 2176
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 8/2007, Volume 17, Issue 4, pp. 1306 - 1346
Journal Article
The Annals of Statistics, ISSN 0090-5364, 10/2009, Volume 37, Issue 5B, pp. 2626 - 2654
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