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Variance reduction by antithetic random numbers of Monte Carlo methods for unrestricted and reflecting diffusions

Costantini, C. - In: Mathematics and Computers in Simulation (MATCOM) 51 (1999) 1, pp. 1-17

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...

Persistent link: https://www.econbiz.de/10010750125

An event bias technique for Monte Carlo device simulation

Kosina, H.; Nedjalkov, M.; Selberherr, S. - In: Mathematics and Computers in Simulation (MATCOM) 62 (2003) 3, pp. 367-375

energy barrier is developed and simulation results are discussed. …

Persistent link: https://www.econbiz.de/10010749216

Variance reduction techniques in stochastic shortest route analysis: application procedures and results

Grant, Floyd H.; Solberg, James J. - In: Mathematics and Computers in Simulation (MATCOM) 25 (1983) 4, pp. 366-375

Variance reduction techniques are of much interest to simulation practitioners. However, they typically present … technique guarantees a reduction in variance of the estimates obtained over direct simulation. We also provide extensive …

Persistent link: https://www.econbiz.de/10010749750

Coupling from the past with randomized quasi-Monte Carlo

L’Ecuyer, P.; Sanvido, C. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 476-489

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...

Persistent link: https://www.econbiz.de/10010869901

Using the continuous price as control variate for discretely monitored options

Dingeç, Kemal Dinçer; Hörmann, Wolfgang - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 691-704

Variance reduction is of highest importance in financial simulation. In this study, we present a new and simple … both, conditional simulation and conditional expectation can be utilized. From numerical experiments we can conclude that …

Persistent link: https://www.econbiz.de/10011050644

On pressure and corner boundary conditions with two lattice Boltzmann construction approaches

Machado, Raúl - In: Mathematics and Computers in Simulation (MATCOM) 84 (2012) C, pp. 26-41

A pressure (density) and a corner no-slip boundary condition formulation are introduced for the two-dimensional lattice Boltzmann method and numerically tested for the Hagen–Poiseuille flow case in this work. Both formulations are derived independently of the equilibrium distribution function...

Persistent link: https://www.econbiz.de/10011050156

Machine tool simulation based on reduced order FE models

Faßbender, Heike; Soppa, Andreas - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 3, pp. 404-413

of real time simulation and control. In commercial FE simulation software often modal reduction is used to obtain a model … of lower order which allows for faster simulation. In recent years new methods to reduce large and sparse dynamical … systems emerged. This work concentrates on the reduction of certain FE systems arising in machine tool simulation with Krylov …

Persistent link: https://www.econbiz.de/10011050174

A closed-form expression for the quantile function of the Gompertz–Makeham distribution

Jodrá, P. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3069-3075

In this note, we give a closed-form expression in terms of the Lambert W function for the quantile function of the Gompertz–Makeham distribution. This probability distribution has frequently been used to describe human mortality and to establish actuarial tables. The analytical expression...

Persistent link: https://www.econbiz.de/10011050235

An integrated approach for simulation of mechatronic systems applied to a hexapod robot

Akdağ, M.; Karagülle, H.; Malgaca, L. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 5, pp. 818-835

models, solve them and give simulation outputs. In this study, SolidWorks is used for solid modeling and assembly …

Persistent link: https://www.econbiz.de/10011050313

Simulation of Brownian motion at first-passage times

Burq, Zaeem A.; Jones, Owen D. - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 64-71

first hits points in δZ for some δ>0. Central to our method is an algorithm for the exact simulation of τ, the first time …

Persistent link: https://www.econbiz.de/10011050323