Advances in Modeling and Simulation

Edited by Zdravko Botev (), Alexander Keller (), Christiane Lemieux () and Bruno Tuffin ()

in Springer Books from Springer

Date: 2022
ISBN: 978-3-031-10193-9
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Chapters in this book:

Monte Carlo Methods for Pricing American Options

Raul Chavez Aquino, Fabian Bastin, Maria Benazzouz and Mohamed Kharrat

Remarks on Lévy Process Simulation

Søren Asmussen

Exact Sampling for the Maximum of Infinite Memory Gaussian Processes

Jose Blanchet, Lin Chen and Jing Dong

Truncated Multivariate Student Computations via Exponential Tilting

Zdravko I. Botev and Yi-Lung Chen

Quasi-Monte Carlo Methods in Portfolio Selection with Many Constraints

Alexander Brunhuemer and Gerhard Larcher

Geometric-Moment Contraction of G/G/1 Waiting Times

Kemal Dinçer Dingeç, Christos Alexopoulos, David Goldsman, Athanasios Lolos and James R. Wilson

Tractability of Approximation in the Weighted Korobov Space in the Worst-Case Setting

Adrian Ebert, Peter Kritzer and Friedrich Pillichshammer

Rare-Event Simulation via Neural Networks

Lachlan J. Gibson and Dirk P. Kroese

Preintegration is Not Smoothing When Monotonicity Fails

Alexander D. Gilbert, Frances Y. Kuo and Ian H. Sloan

Combined Derivative Estimators

Paul Glasserman

A Central Limit Theorem For Empirical Quantiles in the Markov Chain Setting

Peter W. Glynn and Shane G. Henderson

Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling

Rami El Haddad, Joseph El Maalouf, Rana Fakhereddine and Christian Lécot

Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs

Erik Hintz, Marius Hofert and Christiane Lemieux

A Generalized Transformed Density Rejection Algorithm

Wolfgang Hörmann and Josef Leydold

Fast Automatic Bayesian Cubature Using Sobol’ Sampling

Rathinavel Jagadeeswaran and Fred J. Hickernell

Rendering Along the Hilbert Curve

Alexander Keller, Carsten Wächter and Nikolaus Binder

Array-RQMC to Speed up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System

Marvin K. Nakayama and Bruno Tuffin

Foundations of Ranking & Selection for Simulation Optimization

Barry L. Nelson

Where are the Logs?

Art B. Owen and Zexin Pan

Network Reliability, Performability Metrics, Rare Events and Standard Monte Carlo

Gerardo Rubino

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DOI: 10.1007/978-3-031-10193-9

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