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» Dependence Modeling for Stochastic Simulation
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WSC
2001
13 years 10 months ago
Accounting for input model and parameter uncertainty in simulation
Taking into account input-model, input-parameter, and stochastic uncertainties inherent in many simulations, our Bayesian approach to input modeling yields valid point and confide...
Faker Zouaoui, James R. Wilson
FS
2011
168views more  FS 2011»
13 years 7 days ago
Gamma expansion of the Heston stochastic volatility model
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
Paul Glasserman, Kyoung-Kuk Kim
IJCNN
2006
IEEE
14 years 2 months ago
Event modeling of message interchange in stochastic neural ensembles
— We propose a modeling framework based on the event-driven paradigm for populations of neurons which interchange messages. Unlike other strategies our approach is focused on the...
Vicenç Gómez, Andreas Kaltenbrunner,...
ANSS
2005
IEEE
14 years 2 months ago
Approximation of Discrete Phase-Type Distributions
The analysis of discrete stochastic models such as generally distributed stochastic Petri nets can be done using state space-based methods. The behavior of the model is described ...
Claudia Isensee, Graham Horton
JOI
2007
56views more  JOI 2007»
13 years 8 months ago
Hirsch's h-index: A stochastic model
We propose a simple stochastic model for an author’s production/citation process in order to investigate the recently proposed hindex for measuring an author’s research output...
Quentin L. Burrell