The basic concepts of system Engineering are briefly described. The general problem is outlined as that of a `particle' moving in a phase space of states and time. It is shown that this general view leads to a transport equation underlying the behavior of systems. The transport equation is...

In this paper, a non-analog Monte Carlo methodology is applied to the transport of radionuclide chains in a geological medium. A Monte Carlo simulation is first constructed from an integral equation for the concentration of one radionuclide. This integral equation depends on the solution of an...

Two methods of calculating reactivity effects due to small changes in reactor configurations have been implemented in MCNP4A. The pseudo-correlated sampling method makes use of the correlation of particle tracks in problems with well localized perturbations. The true correlated sampling method...

Some theoretical and practical aspects antithetic and common random numbers for variance reduction in simulation of stochastic systems with dependent elements are considered. A proof of their optimality in estimating the expected value of the response sum or the response difference of a pair of...

This paper describes a simulation procedure for estimating the distribution function of the shortest path length in a network with random arc lengths. The method extends the concept of conditional Monte Carlo utilizing special properties of the Uniformly Directed Cutsets and the unique arcs. The...

In this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (m) and test a stable non-parametric calibration algorithm that takes into account a given local covariance structure. The algorithm returns smooth and simply structured Levy densities, and penalizes...

In this paper we present a Markov-Functional hybrid interest rate/foreign exchange model that allows calibration to given market volatility surfaces in both dimensions simultaneously. This is achieved by extending the approach introduced by Fries and Rott by a functional for the foreign exchange...

In a recent paper, Longstaff and Schwartz (2001) suggest a method to American option valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) method, and although it has become widely used, not much is known about the properties of the estimator. This paper...