Results 31 to 40 of about 2,168,026 (221)
On the error rate of importance sampling with randomized quasi-Monte Carlo [PDF]
SIAM Journal on Numerical Analysis, 2022 Importance sampling (IS) is valuable in reducing the variance of Monte Carlo sampling for many areas, including finance, rare event simulation, and Bayesian inference.
Zhijian He, Zhan Zheng, Xiao-Qun Wang
semanticscholar +1 more source
Density Estimation by Randomized Quasi-Monte Carlo [PDF]
SIAM/ASA Journal on Uncertainty Quantification, 2021 22 pages, 6 figures, 4 tables; We are thankful to the anonymous referees, whose comments were considered in this ...
Amal Ben Abdellah +3 more
openaire +3 more sources
Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics [PDF]
, 2012 We show how to extend a recently proposed multi-level Monte Carlo approach to the continuous time Markov chain setting, thereby greatly lowering the computational complexity needed to compute expected values of functions of the state of the system to a ...
Anderson, David, Higham, Desmond
core +4 more sources
Mechanical Engineering Journal, 2023 The significance of probabilistic risk assessments (PRAs) of nuclear power plants against external events was re-recognized after the Fukushima Daiichi Nuclear Power Plant accident.
Kotaro KUBO +5 more
doaj +1 more source
Confidence Intervals for Randomized Quasi-Monte Carlo Estimators
Online World Conference on Soft Computing in Industrial Applications, 2023 Randomized Quasi-Monte Carlo (RQMC) methods provide unbiased estimators whose variance often converges at a faster rate than standard Monte Carlo as a function of the sample size.
P. L'Ecuyer +3 more
semanticscholar +1 more source
PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD
Barekeng, 2023 A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of ...
Indah Oktaviani +2 more
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Modelling of Electron and Thermal Transport in Quasi-Fractal Carbon Nitride Nanoribbons
Fractal and Fractional, 2022 In this work, using calculations based on the density functional theory, molecular dynamics, non-equilibrium Green functions method, and Monte Carlo simulation, we study electronic and phonon transport in a device based on quasi-fractal carbon nitride ...
Renat T. Sibatov +4 more
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Monte Carlo and Quasi Monte Carlo Approach to Ulam's Method for Position Dependent Random Maps
Communications in Advanced Mathematical Sciences, 2020 We consider position random maps $T=\{\tau_1(x),\tau_2(x),\ldots, \tau_K(x); p_1(x),p_2(x),\ldots,p_K(x)\}$ on $I=[0, 1],$ where $\tau_k, k=1, 2, \dots, K$ is non-singular map on $[0,1]$ into $[0, 1]$ and $\{p_1(x),p_2(x),\ldots,p_K(x)\}$ is a set of
Md Shafiqul Islam
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Journal of Management Science and Engineering, 2022 The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances.
Yijie Peng +4 more
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Mathematics, 2023 Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options.
Lingling Xu, Hongjie Zhang, Fu Lee Wang
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