Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 5 of 5 for “"exact simulation"”.
-
On the exact simulation of (skew) Brownian diffusions with discontinuous drift
This thesis is focused on the study and the exact simulation of two classes of real-valued Brownian diffusions: multi-skew Brownian motions with constant drift and Brownian diffusions whose drift admits a finite number of jumps. The skew Brownian motion was introduced in the sixties by Itô and …
-
Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor
… short rate and the discount factor, so that an exact and unbiased simulation scheme can be derived for risk-neutral valuation. We see that the derivation of the joint distribution remains tractable when working with the class of Gaussian short rate models. The dissertation compares three joint …
-
General queueing networks with priorities. Maximum entropy analysis of general queueing network models with priority preemptive resume or head-of-line and non-priority based service disciplines.
… priority schedulling is not compatible with exact product form solutions of queueing network models (QNM's). It is therefore, necessary to employ credible approximate techniques for solving QNM's with priority classes. The principle of maximum entropy (ME) is a method of inference for …
-
Path integral Monte Carlo and the electron gas
… however, traditional path integral Monte Carlo simulations have an exponentially decreasing efficiency with decreased temperature and increased system size. In this thesis, we work towards improving this efficiency, both through approximate and exact methods, as specifically applied to the …
-
On Efficient Algorithms for Stochastic Simulation of Biochemical Reaction Systems
… is formalized in a precise form by a model. A simulation algorithm will realize the dynamic interactions encoded in the model. The simulation can uncover biological implications and derive further predictive experiments. Several successful approaches with different levels of detail have been …