Variance reduction techniques are of much interest to simulation practitioners. However, they typically present formidable difficulties in their implementation, and are, therefore, not widely used. These difficulties stem from the lack of well defined application procedures for the various...

The main discretization schemes for diffusion processes, both unrestricted and reflecting in a hyper-rectangle, are considered. For every discretized path, an `antithetic' path is obtained by changing the sign of the driving random variables, which are chosen symmetric. It is shown that, under...

The coupling-from-the-past (CFTP) algorithm of Propp and Wilson permits one to sample exactly from the stationary distribution of an ergodic Markov chain. By using it n times independently, we obtain an independent sample from that distribution. A more representative sample can be obtained by...

In Monte Carlo (MC) simulations of semiconductor devices it is necessary to enhance the statistics in sparsely populated regions of interest. In this work the Monte Carlo method for stationary carrier transport, known as the Single-Particle MC method, is considered. It gives a solution to the...

Variance reduction is of highest importance in financial simulation. In this study, we present a new and simple variance reduction technique for pricing discretely monitored lookback and barrier options. It is based on using the corresponding continuously monitored option as external control...

Density-weighted averaged derivative estimator gives a computationally convenient consistent and asymptotically normally (CAN) distributed estimate of the parametric component of a semiparametric single index model. This model includes some important parametric models as special cases such as...

Density weighted averages are nonparametric quantities expressed by the expectation of a function of random variables with density weight. It is associated with parametric components of some semiparametric models, and we are concerned with an estimator of these quantities. Asymptotic properties...