Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...
We prove an upper bound on the convergence rate of Markov Chain Monte Carlo (MCMC) algorithms for the important special case when the state space can be aggregated into a smaller ...
We revisit a problem introduced by Bharat and Broder almost a decade ago: how to sample random pages from the corpus of documents indexed by a search engine, using only the search...
In this paper, we present a theoretical analysis of the error with three basic Monte Carlo radiosity algorithms, based on continuous collision shooting random walks, discrete coll...
Abstract. The purpose of this paper is (1) to provide a theoretical justification for the use of Monte-Carlo sampling for approximate resolution of NP-hard maximization problems in...