9期

最新文章

• Variance reduction via lattice rules AI翻译
  作者：L'Ecuyer, P; Lemieux, C
  作者单位：Universite de Montreal
  摘要：This is a review article on lattice methods for multiple integration over the unit hypercube, with a variance-reduction viewpoint. It also contains some new results and ideas. The aim is to examine the basic principles supporting these methods and how they can be used effectively for the simulation models that are typically encountered in the area of management science. These models can usually be reformulated as integration problems over the unit hypercube with a large (sometimes infinite) nu...
• Path generation for quasi-Monte Carlo simulation of mortgage-backed securities AI翻译
  作者：Åkesson, F; Lehoczky, JP
  作者单位：Carnegie Mellon University; Royal Institute of Technology; Carnegie Mellon University
  摘要：Monte Carlo simulation is playing an increasingly important role in the pricing and hedging of complex, path dependent financial instruments. Low discrepancy simulation methods offer the potential to provide faster rates of convergence than those of standard Monte Carlo methods; however, in high dimensional problems special methods are required to ensure that the faster convergence rates hold. Indeed, Ninomiya and Tezuka (1996) have shown high-dimensional examples, in which low discrepancy met...
• A heavy traffic approximation for workload processes with heavy tailed service requirements AI翻译
  作者：Resnick, S; Samorodnitsky, G
  作者单位：Cornell University
  摘要：A system with heavy tailed service requirements under heavy load having a single server has an equilibrium waiting time distribution which is approximated by the Mittag-Leffler distribution. This fact is understood by a direct analysis of the weak convergence of a sequence of negative drift random walks with heavy right tail and the associated all time maxima of these random walks. This approach complements the recent transform view of Boxma and Cohen (1997).
• Management of antiretroviral therapy for HIV infection: Analyzing when to change therapy AI翻译
  作者：D'Amato, RM; D'Aquila, RT; Wein, LM
  作者单位：RAND Corporation; Harvard University; Harvard University Medical Affiliates; Massachusetts General Hospital; Harvard University; Harvard University Medical Affiliates; Massachusetts General Hospital; Massachusetts Institute of Technology (MIT)
  摘要：We analyze two joint decisions in the management of HIV-infected patients on antiretroviral therapy: how frequently to measure a patient's virus level, and when to switch therapy. The underlying stochastic model captures the initial suppression and eventual rebound of the virus level in the blood of a typical HIV-infected patient undergoing treatment. We consider two classes of policies: a viral load policy, which triggers a change in therapy when the current virus level divided by the smalles...