A SIMPLE VARIANCE REDUCTION METHOD WITH APPLICATIONS TO FINANCE AND QUEUEING THEORY

DOI10.1515/MCMA.2001.7.1-2.131zbMath1013.65005OpenAlexW1993500093MaRDI QIDQ2724987

Cristina Costantini

Publication date: 17 June 2003

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.131

zbMATH Keywords

stochastic differential equationBrownian motiondiffusion processqueueing networksfinanceoscillatorsEuler schemeconstant elasticity of variancevariance reduction methodantithetic random numbers

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Queueing theory (aspects of probability theory) (60K25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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