{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,27]],"date-time":"2026-04-27T14:59:32Z","timestamp":1777301972965,"version":"3.51.4"},"reference-count":30,"publisher":"American Mathematical Society (AMS)","issue":"327","license":[{"start":{"date-parts":[[2021,7,20]],"date-time":"2021-07-20T00:00:00Z","timestamp":1626739200000},"content-version":"am","delay-in-days":365,"URL":"https:\/\/www.ams.org\/publications\/copyright-and-permissions"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71601189"],"award-info":[{"award-number":["71601189"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["2019MS106"],"award-info":[{"award-number":["2019MS106"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["71601189"],"award-info":[{"award-number":["71601189"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100012226","name":"Fundamental Research Funds for the Central Universities","doi-asserted-by":"publisher","award":["2019MS106"],"award-info":[{"award-number":["2019MS106"]}],"id":[{"id":"10.13039\/501100012226","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Math. Comp."],"abstract":"<p>\n                    Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of the quasi-Monte Carlo (QMC) method, whose convergence rate is asymptotically better than Monte Carlo in the numerical integration. We first prove the convergence of QMC-based quantile estimates under very mild conditions, and then establish a deterministic error bound of\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"upper O left-parenthesis upper N Superscript negative 1 slash d Baseline right-parenthesis\">\n                        <mml:semantics>\n                          <mml:mrow>\n                            <mml:mi>O<\/mml:mi>\n                            <mml:mo stretchy=\"false\">(<\/mml:mo>\n                            <mml:msup>\n                              <mml:mi>N<\/mml:mi>\n                              <mml:mrow class=\"MJX-TeXAtom-ORD\">\n                                <mml:mo>\n                                  \u2212\n                                  \n                                <\/mml:mo>\n                                <mml:mn>1<\/mml:mn>\n                                <mml:mrow class=\"MJX-TeXAtom-ORD\">\n                                  <mml:mo>\/<\/mml:mo>\n                                <\/mml:mrow>\n                                <mml:mi>d<\/mml:mi>\n                              <\/mml:mrow>\n                            <\/mml:msup>\n                            <mml:mo stretchy=\"false\">)<\/mml:mo>\n                          <\/mml:mrow>\n                          <mml:annotation encoding=\"application\/x-tex\">O(N^{-1\/d})<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    for the quantile estimates, where\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"d\">\n                        <mml:semantics>\n                          <mml:mi>d<\/mml:mi>\n                          <mml:annotation encoding=\"application\/x-tex\">d<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    is the dimension of the QMC point sets used in the simulation and\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"upper N\">\n                        <mml:semantics>\n                          <mml:mi>N<\/mml:mi>\n                          <mml:annotation encoding=\"application\/x-tex\">N<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    is the sample size. Under certain conditions, we show that the mean squared error (MSE) of the randomized QMC estimate for expected shortfall is\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"o left-parenthesis upper N Superscript negative 1 Baseline right-parenthesis\">\n                        <mml:semantics>\n                          <mml:mrow>\n                            <mml:mi>o<\/mml:mi>\n                            <mml:mo stretchy=\"false\">(<\/mml:mo>\n                            <mml:msup>\n                              <mml:mi>N<\/mml:mi>\n                              <mml:mrow class=\"MJX-TeXAtom-ORD\">\n                                <mml:mo>\n                                  \u2212\n                                  \n                                <\/mml:mo>\n                                <mml:mn>1<\/mml:mn>\n                              <\/mml:mrow>\n                            <\/mml:msup>\n                            <mml:mo stretchy=\"false\">)<\/mml:mo>\n                          <\/mml:mrow>\n                          <mml:annotation encoding=\"application\/x-tex\">o(N^{-1})<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    . Moreover, under stronger conditions the MSE can be improved to\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"upper O left-parenthesis upper N Superscript negative 1 minus 1 slash left-parenthesis 2 d minus 1 right-parenthesis plus epsilon Baseline right-parenthesis\">\n                        <mml:semantics>\n                          <mml:mrow>\n                            <mml:mi>O<\/mml:mi>\n                            <mml:mo stretchy=\"false\">(<\/mml:mo>\n                            <mml:msup>\n                              <mml:mi>N<\/mml:mi>\n                              <mml:mrow class=\"MJX-TeXAtom-ORD\">\n                                <mml:mo>\n                                  \u2212\n                                  \n                                <\/mml:mo>\n                                <mml:mn>1<\/mml:mn>\n                                <mml:mo>\n                                  \u2212\n                                  \n                                <\/mml:mo>\n                                <mml:mn>1<\/mml:mn>\n                                <mml:mrow class=\"MJX-TeXAtom-ORD\">\n                                  <mml:mo>\/<\/mml:mo>\n                                <\/mml:mrow>\n                                <mml:mo stretchy=\"false\">(<\/mml:mo>\n                                <mml:mn>2<\/mml:mn>\n                                <mml:mi>d<\/mml:mi>\n                                <mml:mo>\n                                  \u2212\n                                  \n                                <\/mml:mo>\n                                <mml:mn>1<\/mml:mn>\n                                <mml:mo stretchy=\"false\">)<\/mml:mo>\n                                <mml:mo>+<\/mml:mo>\n                                <mml:mi>\n                                  \u03f5\n                                  \n                                <\/mml:mi>\n                              <\/mml:mrow>\n                            <\/mml:msup>\n                            <mml:mo stretchy=\"false\">)<\/mml:mo>\n                          <\/mml:mrow>\n                          <mml:annotation encoding=\"application\/x-tex\">O(N^{-1-1\/(2d-1)+\\epsilon })<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    for arbitrarily small\n                    <inline-formula content-type=\"math\/mathml\">\n                      <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"epsilon greater-than 0\">\n                        <mml:semantics>\n                          <mml:mrow>\n                            <mml:mi>\n                              \u03f5\n                              \n                            <\/mml:mi>\n                            <mml:mo>&gt;<\/mml:mo>\n                            <mml:mn>0<\/mml:mn>\n                          <\/mml:mrow>\n                          <mml:annotation encoding=\"application\/x-tex\">\\epsilon &gt;0<\/mml:annotation>\n                        <\/mml:semantics>\n                      <\/mml:math>\n                    <\/inline-formula>\n                    .\n                  <\/p>","DOI":"10.1090\/mcom\/3555","type":"journal-article","created":{"date-parts":[[2020,4,29]],"date-time":"2020-04-29T19:57:22Z","timestamp":1588190242000},"page":"303-319","source":"Crossref","is-referenced-by-count":6,"title":["Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall"],"prefix":"10.1090","volume":"90","author":[{"given":"Zhijian","family":"He","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xiaoqun","family":"Wang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"14","published-online":{"date-parts":[[2020,7,20]]},"reference":[{"key":"1","doi-asserted-by":"crossref","unstructured":"A. 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