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Table of Contents
Part I Pierre LEcuyer: Biography, Part II Invited Contributions: Monte Carlo Methods for Pricing American Options
Remarks on Levy Process Simulation
Exact Sampling for the Maximum of Infinite Memory Gaussian Processes
Truncated Multivariate Student Computations via Exponential Tilting
Quasi-Monte Carlo Methods in Portfolio Selection with Many Constraints
Geometric-Moment Contraction of G/G/1 Waiting Times
Tractability of Approximation in the Weighted Korobov Space in the Worst-Case Setting
Rare-Event Simulation via Neural Networks
Preintegration is Not Smoothing when Monotonicity Fails
Combined Derivative Estimators
A Central Limit Theorem For Empirical Quantiles in the Markov Chain Setting
Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling
Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs
A Generalized Transformed Density Rejection Algorithm
Fast Automatic Bayesian Cubature Using Sobol Sampling
Rendering along the Hilbert Curve
Array-RQMC to Speed Up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System
Foundations of Ranking & Selection for Simulation Optimization
Where are the Logs?
Network Reliability, Performability Metrics, Rare Events and Standard Monte Carlo.
Remarks on Levy Process Simulation
Exact Sampling for the Maximum of Infinite Memory Gaussian Processes
Truncated Multivariate Student Computations via Exponential Tilting
Quasi-Monte Carlo Methods in Portfolio Selection with Many Constraints
Geometric-Moment Contraction of G/G/1 Waiting Times
Tractability of Approximation in the Weighted Korobov Space in the Worst-Case Setting
Rare-Event Simulation via Neural Networks
Preintegration is Not Smoothing when Monotonicity Fails
Combined Derivative Estimators
A Central Limit Theorem For Empirical Quantiles in the Markov Chain Setting
Simulation of Markov Chains with Continuous State Space by Using Simple Stratified and Sudoku Latin Square Sampling
Quasi-Random Sampling with Black Box or Acceptance-Rejection Inputs
A Generalized Transformed Density Rejection Algorithm
Fast Automatic Bayesian Cubature Using Sobol Sampling
Rendering along the Hilbert Curve
Array-RQMC to Speed Up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System
Foundations of Ranking & Selection for Simulation Optimization
Where are the Logs?
Network Reliability, Performability Metrics, Rare Events and Standard Monte Carlo.