Raúl Tempone
- Multi-index Monte Carlo: when sparsity meets sampling
2015/06/26 by Abdul-Lateef Haji-Ali, Fabio Nobile, Raúl Tempone · 12 citations
Mathematics · Decision Sciences · #Mathematical Approximation and Integration #Probabilistic and Robust Engineering Design #Statistical Methods and Inference
- Efficient Importance Sampling for Large Sums of Independent and\n Identically Distributed Random Variables
2021/01/23 by Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Rached, Nadhir Ben +5 · 2 citations
Decision Sciences · Engineering · Mathematics · #62P30 #65C05 #Computation (stat.CO) #FOS: Computer and information sciences #Geophysical Methods and Applications #Probability and Risk Models #Statistical Distribution Estimation and Applications
- Approximating Hessian matrices using Bayesian inference: a new approach for quasi-Newton methods in stochastic optimization
2022/07/31 by André Gustavo Carlon, Carlon, Andre, Luis Espath +3 · 2 citations
Mathematics · Computer Science · #Statistical and numerical algorithms #Advanced Optimization Algorithms Research #Gaussian Processes and Bayesian Inference
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type\n Control
2014/04/05 by Boualem Djehiche, Djehiche, Boualem, Hamidou Tembiné +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Climate Change Policy and Economics #FOS: Economics and business #FOS: Electrical engineering #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM) #Stochastic processes and financial applications #Systems and Control (eess.SY) #electronic engineering #information engineering
- Error analysis in Fourier methods for option pricing
2015/02/27 by Fabián Crocce, Juho Häppölä, Crocce, Fabián +5 · 1 citation
Economics, Econometrics and Finance · Engineering · #60J60 #60J65 #60J75 #65T50 #FOS: Economics and business #Financial Risk and Volatility Modeling #Fluid Dynamics and Turbulent Flows #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- Implied Stopping Rules for American Basket Options from Markovian\n Projection
2017/05/01 by Christian Bayer, Juho Häppölä, Bayer, Christian +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #91G60 #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Stochastic processes and financial applications
- Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
2021/06/15 by Truong‐Vinh Hoang, Hoang, Truong-Vinh, Sebastian Krumscheid +5 · 1 citation
Earth and Planetary Sciences · Environmental Science · #62M20 #62M45 #65C20 #86-08 #Climate variability and models #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Hydrology and Drought Analysis #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Meteorological Phenomena and Simulations #Numerical Analysis (math.NA)
- Double-loop randomized quasi-Monte Carlo estimator for nested integration
2023/02/27 by Arved Bartuska, Bartuska, Arved, André Gustavo Carlon +7 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Approximation and Integration #Numerical Analysis (math.NA) #Statistical Methods and Inference #Stochastic processes and financial applications
- Filtered Markovian Projection: Dimensionality Reduction in Filtering for Stochastic Reaction Networks
2025/02/11 by Chiheb Ben Hammouda, Maksim Chupin, Hammouda, Chiheb Ben +5 · 1 citation
#60G35 #60J22 #60J27 #60J74 #92C40 #Applications (stat.AP) #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (stat.ML) #Numerical Analysis (math.NA) #Probability (math.PR)
- Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
2016/10/31 by Abdul-Lateef Haji-Ali, Raúl Tempone, Haji-Ali, Abdul-Lateef +1 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Stochastic processes and financial applications #Theoretical and Computational Physics #Complex Systems and Time Series Analysis