Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill …

Sequential Sampling method while applying minimum simulation replications, for a class of JIT (Just in Time) warehousing system …This paper investigates the reduction of variance associated with a simulation output performance measure, using the … called crossdocking. We initially used the Sequential Sampling method to attain a desired 95% confidence interval half width …

importance sampling scheme in a Multi-Level Monte Carlo simulation. In all cases, we explain how the Greeks can be computed in … the different simulation schemes using the Likelihood Ratio Method, and how combining it with importance sampling leads to …Abstract We present an application of importance sampling to multi-asset options under the Heston and the Bates models …