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

被引：11

作者：

Arbenz, Philipp ^{[1
]}

Embrechts, Paul ^{[2
]}

Puccetti, Giovanni ^{[3
]}

机构：

[1] ETH, Dept Math, CH-8092 Zurich, Switzerland

[2] ETH, Swiss Finance Inst, Dept Math, CH-8092 Zurich, Switzerland

[3] Univ Firenze, Dept Math Decis, I-50134 Florence, Italy

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2012年 / 84卷 / 5-6期

关键词：

convolution; distribution functions; dependent random variables;

D O I：

10.1080/17442508.2011.566337

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We introduce a new algorithm for numerically computing the distribution of an increasing function of d dependent, non-negative random variables with a given joint distribution. We prove the convergence of the algorithm and give convergence rates under regularity conditions.

引用

页码：569 / 597

页数：29