97 search results - page 1 / 20 » A Randomized Quasi-Monte Carlo Simulation Method for Markov ... |
IOR
2008
13 years 4 months ago
2008
We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
SIAMSC
2010
12 years 11 months ago
2010
Infinitely divisible random vector without Gaussian component admits representations of shot noise series. Due to possible slow convergence of the series, they have not been inves...
WSC
2000
13 years 5 months ago
2000
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...
WSC
2004
13 years 5 months ago
2004
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
NAA
2000
Springer
13 years 8 months ago
2000
Springer
Abstract. The convergence of Monte Carlo method for numerical integration can often be improved by replacing pseudorandom numbers (PRNs) with more uniformly distributed numbers kno...