We develop a weak exact simulation technique for a process X defined by a multi-dimensional stochastic differential … equation (SDE). Namely, for a Lipschitz function g, we propose a simulation based approximation of the expectation E[g(X_{t_1 … induced by Elworthy's formula from Malliavin calculus, as exploited by Fournié et al. for the simulation of the Greeks in …

. Theoretical and simulation results show that, in some instances, our method outperforms the standard Monte Carlo method by a …

We propose a set of new algorithms based on stochastic localization methods for large-scale discrete simulation … adaptive algorithm with an expected simulation cost asymptotically independent of the problem scale, which is proved to attain … stochastic cutting-plane algorithms, the simulation costs of which have no dependence on model parameters such as the Lipschitz …

Why Do We Simulate? -- Simulation Programming: Quick Start -- Examples -- Simulation Programming with VBASim -- Two … Views of Simulation -- Simulation Input -- Simulation Output -- Experiment Design and Analysis -- Simulation for Research …This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous …

simulation. Two classes of tests are considered: versions of the likelihood ratio test and the robust Wald test which is based on …