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Filtered Monte Carlo
13 references·3 citing·35 second hop
Filtered Monte Carlo (1993)Filtered Monte CarloIntroduction to Stochastic Processes (2014)Introduction to Stochastic Pr…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Estimating Customer and Time Averages (1993)Estimating Customer and Time …Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes (1990)Discrete-Time Conversion for …Indirect Estimation Via L = λW (1989)Indirect Estimation Via L = λWSimulation methods for queues: An overview (1988)Simulation methods for queues…Sufficient conditions for functional-limit-theorem versions ofL = ?W (1987)Sufficient conditions for fun…Applied Probability and Queues (1987)Applied Probability and QueuesDiscrete-time conversion for simulating semi-Markov processes (1986)Discrete-time conversion for …A guide to simulation (2nd ed.) (1986)A guide to simulation (2nd ed…A Guide to Simulation (1983)A Guide to SimulationPoisson Arrivals See Time Averages (1982)Poisson Arrivals See Time Ave…Discrete time methods for simulating continuous time Markov chains (1976)Discrete time methods for sim…Computing Densities for Markov Chains via Simulation (2001)Computing Densities for Marko…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Efficiency improvement techniques (1994)Efficiency improvement techni…Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Simulating Stable Stochastic Systems, I: General Multiserver Queues (1974)Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations (1975)On-Line Optimization of Simulated Markovian Processes (1990)Using a standard clock technique for efficient simulation (1991)Techniques for fast simulation of models of highly dependable systems (2001)Approximating a Point Process by a Renewal Process, I: Two Basic Methods (1982)Efficiency improvement and variance reduction (2005)Simulation modeling for analysis (2010)A Guide to Simulation. (1985)Likelilood ratio gradient estimation (1987)Conditioning on One-Step Survival for Barrier Option Simulations (2001)Control Techniques for Complex Networks (2007)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Advancing the art of simulation in the social sciences (1997)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Costs, effects and C/E‐ratios alongside a clinical trial (1994)Model Transparency and Validation (2012)A Markov Modulated Characterization of Packetized Voice and Data Traffic and Related Statistical Multiplexer Performance (1986)Queueing systems with vacations ? A survey (1986)Telephone Call Centers: Tutorial, Review, and Research Prospects (2003)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Asset Pricing with Heterogeneous Consumers (1996)Optimization of computer simulation models with rare events (1997)Rational-expectations econometric analysis of changes in regime (1988)The Markov-modulated Poisson process (MMPP) cookbook (1993)A Theory of Trickle-Down Growth and Development (1997)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 1987Applied Probability and Queues2,704 cited
  • 2014Introduction to Stochastic Processes2,407 cited
  • 1983A Guide to Simulation1,468 cited
  • 1982Poisson Arrivals See Time Averages1,220 cited
  • 1986A guide to simulation (2nd ed.)500 cited
  • 1976Discrete time methods for simulating continuous time Markov chains99 cited
  • 1989Indirect Estimation Via L = λW75 cited
  • 1988Simulation methods for queues: An overview73 cited
  • 1987Sufficient conditions for functional-limit-theorem versions ofL = ?W45 cited
  • 1990Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes41 cited
  • 1986Discrete-time conversion for simulating semi-Markov processes39 cited
  • 1993Estimating Customer and Time Averages19 cited

Cited by

  • 1997Monte Carlo methods for security pricing856 cited
  • 1994Efficiency improvement techniques29 cited
  • 2001Computing Densities for Markov Chains via Simulation29 cited

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