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

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Autor(in)

Datum

2012-12

Typ

Journal Article

ETH Bibliographie

yes

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Publikationsstatus

published

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Zeitschrift / Serie

Stochastics

Band

84(5-6)

Seiten / Artikelnummer

569 - 597

Verlag

Taylor & Francis

Thema

Convolution; Distribution functions; Dependent random variables

Organisationseinheit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Anmerkungen

Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.

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ETH Bibliographie

yes

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