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 this paper, we study the size and power of various diagnostic statistics for univariate conditional heteroscedasticity models. These test statistics include the residual-based tests recently derived by Tse, Li and Mak, and Wooldridge, respectively. Monte-Carlo experiments with 1000...

An explicit proof of a simple time-step propagation scheme is given in the framework of basic probability theory. It can be used in Monte Carlo simulations solving the Boltzmann transport equation. If the stochastically selected first scattering event occurs before a given time t1, the particle...

This paper describes a new specific blackboard expert system to simulate and automate the design of high recirculation airlift reactors. The research work described aims to bring about savings in construction and running costs by automating the design process and removing unnecessary...