In this article we address efficiency issues in implementation of Monte Carlo algorithm for 3D capacitance extraction. Error bounds in statistical capacitance estimation are discus...
In this paper we describe a stochastic integral equation method for computing the mean value and the variance of capacitance of interconnects with random surface roughness. An ens...
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
—The advanced sampling and variance reduction techniques as efficient alternatives to the slow crude-MC method have recently been adopted for the analysis of timing yield in dig...