Journal ArticleDOI
Simulating bessel random variables
TLDR
In this article, an exact random variate generation for the Bessel distribution is discussed. But the expected time of the algorithm is uniformly bounded over all choices of the parameters, and the algorithm avoids any computation of Bessel functions or Bessel ratios.About:
This article is published in Statistics & Probability Letters.The article was published on 2002-04-15. It has received 58 citations till now. The article focuses on the topics: Bessel polynomials & Bessel process.read more
Citations
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Journal ArticleDOI
Forced canonical thermalization in a hadronic transport approach at high density
TL;DR: In this paper, a local forced canonical thermalization (LCC) was used to simulate the high-density regime of heavy ion collisions at low and intermediate energies, where the assumption of binary interactions may not be applicable anymore.
Proceedings ArticleDOI
On the Simulation of Tikhonov Random Processes
TL;DR: The proposed technique is extremely efficient in that it requires a single pair of uniform random numbers to generate one Tikhonov (or von Mises) sample, regardless of the prescribed concentration and centrality parameters, without sample rejection or the repetitive evaluation of computationally demanding functions.
Affine processes in finance: Numerical approximation, simulation and model properties
Abstract: Affine Processes in Finance; Numerical Approximation, Simulation and Model Properties
Posted Content
Poisson-Randomized Gamma Dynamical Systems
TL;DR: The Poisson-randomized gamma dynamical system (PRGDS) as discussed by the authors is a model for counting tensors with a strong inductive bias toward sparsity and burstiness.
Journal ArticleDOI
Backward simulation methods for pricing American options under the CIR process
Wenbin Hu,Junzi Zhou +1 more
TL;DR: This paper proposes forward–backward simulation approaches for Alfonsi’s two implicit schemes, the fixed Euler schemes and the exact scheme to solve the memory requirement issue of the Least Squares Monte Carlo method when pricing American options by simulation.
References
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Journal ArticleDOI
Non-Uniform Random Variate Generation.
B. J. T. Morgan,Luc Devroye +1 more
TL;DR: This chapter reviews the main methods for generating random variables, vectors and processes in non-uniform random variate generation, and provides information on the expected time complexity of various algorithms before addressing modern topics such as indirectly specified distributions, random processes, and Markov chain methods.
Book
Non-uniform random variate generation
TL;DR: A survey of the main methods in non-uniform random variate generation can be found in this article, where the authors provide information on the expected time complexity of various algorithms, before addressing modern topics such as indirectly specified distributions, random processes and Markov chain methods.
Proceedings of the 2000 winter simulation conference
TL;DR: This paper reviews statistical methods for analyzing output data from computer simulations to find the best system among a set of competing alternatives on the estimation of steady-state system parameters.
Journal ArticleDOI
Efficient Simulation of the von Mises Distribution
D. J. Best,Nicholas I. Fisher +1 more