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IOR
2006
192views more  IOR 2006»
13 years 9 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Mark Broadie, Özgür Kaya
MASCOTS
2007
13 years 10 months ago
Network Performance Analysis based on Histogram Workload Models
Network performance analysis relies mainly on two models: a workload model and a performance model. This paper proposes to use histograms for characterising the arrival workloads ...
Enrique Hernández-Orallo, Joan Vila-Carb&oa...
SIMVIS
2003
13 years 10 months ago
An Experimental Study of the Behaviour of the Proxel-Based Simulation Algorithm
The paradigm of the proxel ("probability element") was recently introduced in order to provide a new algorithmic approach to analysing discrete-state stochastic models s...
Sanja Lazarova-Molnar, Graham Horton
WSC
2000
13 years 10 months ago
A framework for Response Surface Methodology for simulation optimization
We develop a framework for automated optimization of stochastic simulation models using Response Surface Methodology. The framework is especially intended for simulation models wh...
H. Gonda Neddermeijer, Gerrit J. van Oortmarssen, ...
QEST
2009
IEEE
14 years 3 months ago
Safety Analysis of an Airbag System Using Probabilistic FMEA and Probabilistic Counterexamples
—Failure mode and effects analysis (FMEA) is a technique to reason about possible system hazards that result from system or system component failures. Traditionally, FMEA does no...
Husain Aljazzar, Manuel Fischer, Lars Grunske, Mat...