1434 search results - page 50 / 287 » Stochastic computation |
WSC
2004
14 years 11 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
JSS
2007
14 years 9 months ago
2007
The paper presents a method to compute performance metrics (response time, sojourn time, throughput) on Unified Modeling Language design. The method starts with UML design annota...
DNA
2009
Springer
15 years 4 months ago
2009
Springer
Process algebras are widely used for defining the formal semantics of concurrent communicating processes. In process algebra, concurrent processes can be specified to execute di...
INFORMS
2000
14 years 9 months ago
2000
We develop a variant of the Nelder-Mead (NM) simplex search procedure for stochastic simulation optimization that is designed to avoid many of the weaknesses encumbering such dire...
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CORR
2012
Springer
13 years 5 months ago
2012
Springer
Abstract— In this paper, we consider a class of continuoustime, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation ...