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Haijema, René - In: International journal of production economics 143 (2013) 2, pp. 434-439

Persistent link: https://www.econbiz.de/10009755495

Models for integrated production-inventory systems : steady state and cost analysis

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Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments

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Creditworthiness dynamics and Hidden Markov Models

Quirini, L.; Vannucci, L. - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 323-330

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Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse

Ekin, Tahir; Polson, Nicholas G.; Soyer, Refik - In: Decision analysis : a journal of the Institute for … 11 (2014) 4, pp. 250-264

Persistent link: https://www.econbiz.de/10010467454

Likelihood inference for discretely observed non-linear diffusions

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Stochastic processes : modelling and simulation

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Persistent link: https://www.econbiz.de/10001711454

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Cui, Zhenyu - 2020

We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local...

Persistent link: https://www.econbiz.de/10012823283

Efficient Simulation of Stochastic Differential Equations Based on Markov Chain Approximations With Applications

Cui, Zhenyu - 2020

Persistent link: https://www.econbiz.de/10012826668

Variance reduction with array-RQMC for Tau-Leaping simulation of stochastic biological and chemical reaction networks

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Persistent link: https://www.econbiz.de/10012599478

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