Many complex systems can be modeled via Markov jump processes. Applications include chemical reactions, population dynamics, and telecommunication networks. Rare-event estimation for such models can ...
The problem of estimating the variance of the ratio estimator in sampling with probability proportional to aggregate size is investigated. The form of nonnegative unbiased variance estimators is found ...
We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic ...
Results that may be inaccessible to you are currently showing.
Hide inaccessible results
Feedback