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On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Jose Blanchet, Peter Glynn, Kevin Leder
Article No.: 13
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolutions can be derived by taking an appropriate...
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
Zisheng Chen, Liming Feng, Xiong Lin
Article No.: 14
The simulation of a discrete sample path of a Lévy process reduces to simulating from the distribution of a Lévy increment. For a general Lévy process with exponential moments, the inverse transform method proposed in...
Simulating Multivariate Nonhomogeneous Poisson Processes Using Projections
Evan A. Saltzman, John H. Drew, Lawrence M. Leemis, Shane G. Henderson
Article No.: 15
Established techniques for generating an instance of a multivariate NonHomogeneous Poisson Process (NHPP) such as thinning can become highly inefficient as the dimensionality of the process is increased, particularly if the defining intensity (or...
For many discrete simulation optimization applications, it is often difficult to decide which Ranking and Selection (R&S) procedure to use. To efficiently compare R&S procedures, we present a three-layer performance evaluation process. We show...
Bayesian Kriging Analysis and Design for Stochastic Simulations
Szu Hui Ng, Jun Yin
Article No.: 17
Kriging is an increasingly popular metamodeling tool in simulation due to its flexibility in global fitting and prediction. In the fitting of this metamodel, the parameters are often estimated from the simulation data, which introduces parameter...