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Some Guidelines and Guarantees for Common Random Numbers

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References

1986A guide to simulation (2nd ed.)484 cited
1989Acyclic fork-join queuing networks150 cited

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2005Efficiency improvement and variance reduction96 cited
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2007Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling86 cited
2002An overview of derivative estimation84 cited
1998Budget-Dependent Convergence Rate of Stochastic Approximation69 cited
1993Conservative parallel simulation of continuous time Markov chains using uniformization49 cited
2020Information Reuse for Importance Sampling in Reliability-Based Design Optimization47 cited

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2003

Computation of Greeks for Barrier and Lookback Options Using Malliavin Calculus

40 cited

2010Gradient estimation for discrete-event systems by measure-valued differentiation40 cited

2005An alternative simulation budget allocation scheme for efficient simulation35 cited

2009Numerical methods for Lévy processes34 cited