[PDF] Top 20 Exact Monte Carlo simulation of killed diffusions
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Exact Monte Carlo simulation of killed diffusions
... The problem of determining the two-sided crossing probability of the Brownian bridge is more challenging than the one-sided problem. Although it has been ex- tensively studied in literature (see e.g. Bertoin and Pitman, ... See full document
26
A methodological framework for Monte Carlo probabilistic inference for diffusion processes
... for diffusions, Møller et ...obtain exact MCMC algorithms for state-space models when the likelihood is estimated by the particle ...the Monte Carlo EM algorithm can be adjusted using these ... See full document
25
Implementation of Board Games Using Monte Carlo Simulation
... The board for Snakes and Ladders is a 10x10 board numbered 1-100. On some squares there are ladders, and if you land on the specific square then you can move your piece up to where the ladder ends (for example, landing ... See full document
5
On the exact and ε strong simulation of (jump) diffusions
... the simulation of sample paths at a single time point, discretisation introduces approximation error resulting in the loss of unbiasedness of our Monte Carlo estimator ...requires simulation ... See full document
64
MONTE CARLO SIMULATION IN INTERNAL RADIOTHERAPY OF THYROID CANCER
... In the phantom, there has been no attempt to introduce small variations which would be presumed to have only a small effect on the scattering of photons. Similarly, the description of the interior organs, while ... See full document
9
PERT difficulties and various probability
... of Monte Carlo simulation, numbers of execution affect the quality of ...of simulation executions must increase and the exact distribution of project completion time can not be ...The ... See full document
6
Integral equation and simulation studies of the Heisenberg spin fluid in an external magnetic field
... with Monte Carlo simulation data shows the integral equation procedure yielding nearly exact results, in particular for nonzero external ... See full document
12
Monte Carlo Simulation for Statistical Decay of Compound Nucleus
... A Monte Carlo simulation of the nuclear reaction process will be able to provide fully correlated information, ...called Monte Carlo Hauser-Feshbach (MCHF) [2, ...the Monte ... See full document
10
Monte carlo simulation of the CGMY process and option pricing
... whose exact simulation is ...resulting Monte Carlo price estimates are affected by an approximation bias which may be substantial and, at the same time, difficult to ...whose exact sim- ... See full document
45
Exact Simulation of Jump Diffusion Processes with Monte Carlo Applications
... a Monte Carlo simulation ...the Monte Carlo estimator is expected to be the same as for pure ...the simulation of the continuous component reflects on the simulation of ... See full document
32
Some Monte Carlo methods for jump diffusions
... 1, exact algorithms are a class of rejection samplers (see Sec- tion ...existing exact algorithms exist based on this approach (for instance those introduced in Beskos and Roberts [2005], Beskos et ... See full document
291
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
... Independent work by Avikainen also provides analysis that is relevant to the multi-level Monte Carlo method. The results in [1] extend material in section 3 by providing a better upper bound for a broader ... See full document
11
Optimal Mortgage Refinancing Based on Monte Carlo Simulation
... The rest of this paper is organized as follows. We choose a model to simulate alternative mortgage rate, then derive the cash flow schemes for the two types of loan settlement in Section 2. In Section 3, we formulate and ... See full document
11
Topological analysis in Monte Carlo simulation for uncertainty propagation
... Global (top row) and top five most significant topological signatures vertical cross sections of information entropy uncertainty index models for the low-input data confidence run.... To[r] ... See full document
22
Development of Construction Planning Strategies for Coastal Project using Monte Carlo Simulation
... the Monte Carlo simulation (MCS) concept to the activities in the critical path that introduced from classical construction network that based on critical path method and to the costs of breakwater, ... See full document
9
COMPARATIVE STUDY OF PARAMETRIC AND NON-PERAMETRIC VALUE AT RISK (VaR) METHODS
... Investment nowadays is become a very hectic task. Most of the time people think about how much they can lose on their investment. Value at Risk is a way to give answer of these questions, at least within a reasonable ... See full document
15
Probing the dynamic response of dense matter with x ray Thomson scattering
... The simulations suggest that a hot, high-density core of radius . 50 µm is formed at the centre of the imploding target following shock stagnation. This region reaches the extreme pressures ∼ 1 Gbar of interest to the ... See full document
210
Monte Carlo Simulation in Radionuclide Therapy Dosimetry
... MC simulation, different tools are used for modeling realistic clinical acquisitions with accurate dose ...the simulation of nuclear medicine data be ever closer to actual patient ...data. Simulation ... See full document
6
Monte Carlo Simulation and Improvement of Variance Reduction Techniques
... of Monte Carlo ...introduce Monte Carlo simulation firstly; then enumerate several commonly used methods of variance reduction and furtherly combine them to study whether it improves ... See full document
9
Analyze Monte Carlo Simulation Applications for Project Management
... the Monte Carlo simulation method and its uses in various fields, focusing primarily on its use in the field of project ...management. Monte Carlo simulation becomes more popular ... See full document
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