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...

In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient im...

The simulation of a discrete sample path of a L´evy process reduces to simulating from the distribution of a L´evy increment. For a general L´evy pro...