Life prediction significantly influences the reliability of LED light sources. While high-power
LED light sources theoretically offer a lifespan of up to 100,000 h, irreversible damage to …

We put forward an efficient algorithm for approximating the sums of independent and log-
normally distributed random variables. Namely, by combining tools from probability theory …

Conditional Monte Carlo replaces a naive estimate Z of a number z by its conditional
expectation given a suitable piece of information. It always reduces variance and its …

We discuss estimating the probability that the sum of nonnegative independent and
identically distributed random variables falls below a given threshold, ie, P (∑ _ i= 1^ N X_i …

Using the stochastic differential equation driven by the composite Poisson process of mixed
fractional Brownian motion, the price model of a mixed jump-diffusion fractional Brownian …

We consider the problem of evaluating the cumulative distribution function (CDF) of the sum
of order statistics, which serves to compute outage probability (OP) values at the output of …

In this paper, we analyze a method for approximating the distribution function and density of
a random variable that depends in a nontrivial way on a possibly high number of …

This paper establishes conditions under which a portfolio consisting of the averages of K
blocks of lognormal variables converges to a K-dimensional lognormal variable as the …

We study the problem of the Monte Carlo estimation of the right tail of the distribution of the
sum of correlated log-normal random variables. While a number of theoretically efficient …

We propose a unified rare-event estimator for the performance evaluation of wireless
communication systems. The estimator is derived from the well-known multilevel splitting …