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ESTIMAÇÃO DO PRÊMIO DE OPÇÕES ASIÁTICAS POR MONTE CARLO E QUASI-MONTE CARLO
Faces: Revista de Administração, 2012 O trabalho se situa no campo de estudo de métodos numéricos, em fi nanças, e tem por objetivo comparar a utilização dos modelos estocásticos de Monte Carlo e Quasi-Monte Carlo com Sequências de Halton, para o apreçamento de opções asiáticas, em uma série
Rafael Igrejas da Silva +4 more
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Probabilistic evaluation of dynamic positioning operability with a Quasi-Monte Carlo approach
BrodogradnjaDuring the design phase of an offshore unit, estimating the station-keeping capabilities of the dynamic positioning (DP) system is mandatory. This means, in conventional offshore applications, to determine the maximum sustainable wind speed as a function
Francesco Mauro, Radoslav Nabergoj
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Méthodes quasi-Monte-Carlo multidimensionnelles
Theoretical Computer Science, 1994 AbstractNous présentons les principales suites quasi aléatoires dans un nouveau cadre qui permet d'intégrer naturellement les nouvelles suites ‘télescopiques’ que nous proposons au paragraphe 6. Le problème est maintenant d'obtenir des informations sur les irrégularités de distribution de telles suites; à défaut, une étude empirique comparative ...
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Geodesic Monte Carlo on Embedded Manifolds [PDF]
, 2013 Markov chain Monte Carlo methods explicitly defined on the manifold of probability distributions have recently been established. These methods are constructed from diffusions across the manifold and the solution of the equations describing geodesic flows
Simon Byrne +5 more
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Quasi-Monte Carlo simulation of coagulation–fragmentation
Mathematics and Computers in Simulation, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian Lécot +3 more
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Simple approach to include external resistances in the Monte Carlo simulation of MESFETs and HEMTs [PDF]
, 1996 The contact and external series resistances play an important role in the performance of modern 0.1-0.2 μm HEMT's. It is not possible to include these resistances directly into the Monte Carlo simulations.
Cameron, N. +3 more
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A two-step Monte Carlo algorithm for interaction between resonant ions and radio frequency waves
Fundamental Plasma PhysicsThis paper presents a new Monte Carlo algorithm intended for use in orbit following Monte Carlo codes (OFMC) to describe resonant interaction of ions with Radio Frequency (RF) waves in axi-symmetric toroidal plasmas.
T. Johnson, L.-G. Eriksson
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Information-Geometric Markov Chain Monte Carlo Methods Using Diffusions [PDF]
, 2014 Recent work incorporating geometric ideas in Markov chain Monte Carlo is reviewed in order to highlight these advances and their possible application in a range of domains beyond statistics. A full exposition of Markov chains and their use in Monte Carlo
Livingstone, Samuel +5 more
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Control Functionals for Quasi-Monte Carlo Integration
, 2015 Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with $d$-dimensions and derivatives of order $α$, an optimal QMC rule converges at a best-possible rate $O(N^{-α/d})$. However, in applications the value of $α$
Oates, Chris J, Girolami, Mark
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Generating Poisson Processes By Quasi-Monte Carlo
, 1996 Poisson processes on fixed intervals are imbedded in simulations where the goal is to estimate the expectation of some function of the process and of other random variables.
Bennett L. Fox, Quasi-monte Carlo
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