In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...

The congestion risk during escalator transfers was simulated based on a modified social force model. A four-stage transfer model was proposed. A projection strategy was employed to calculate the social forces for inclined surfaces, and a schedule-line model was proposed to calculate the targets...

The combined influence of disorder and interactions on the transport properties of electrons in one dimension is investigated. The numerical simulations are carried out by means of the Hartree–Fock-based diagonalization, a very efficient method to determine the low-energy properties of a...

An investigation was made regarding to what extent road network patterns are reproduced by a crack model from a viewpoint that they seem to resemble crack patterns in morphology. A desiccation model using double-layered cellular meshes was considered with the parameters representing the...

The classical rescaled adjusted range (R/S) statistic is a popular and robust tool for identifying fractal structures and long-term dependence in time-series data. Subsequent to Mandelbrot and Wallis [Water Resour. Res. 4 (1968) 909] who proposed the statistic be measured over several subseries...

In this paper, we investigate the CO2 emission in a traffic flow mixed with multi-class vehicles by use of an improved optimal velocity model with different vehicles. We explore numerically the dependence of the total CO2 emission rate and the additional CO2 emission on the variation of the...