State-dependent importance sampling algorithms based on mixtures are considered. The algorithms are designed to compute tail probabilities of a heavy...

Low-discrepancy sequences provide a way to generate quasi-random numbers of high dimensionality with a very high level of uniformity. The nearly orth...

Quantiles, which are also known as values-at-risk in finance, frequently arise in practice as measures of risk. This article develops asymptotically...

Due to the relevance of self-similarity analysis in several research areas, there is an increased interest in methods to generate realizations of sel...

Given a black box that generates independent Bernoulli samples with an unknown bias p, we consider the problem of simulating a Bernoulli random varia...