A simple variance reduction method with applications to finance and queueing theory
antithetic random numbersBrownian motionconstant elasticity of variancediffusion processEuler schemefinanceoscillatorsqueueing networksstochastic differential equationvariance reduction method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Queueing theory (aspects of probability theory) (60K25) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
The paper shows examples in finance and queueing theory for the application of antithetic random numbers (ARN) [Costantini, Math. Comp. Simul. (1999)]. The first example is the constant elasticity model [Cox, J. Portfolio Management (1996)] for the behaviour of financial assets, discretized by a modified Euler scheme. The second example given also deals with a Euler type discretization scheme for a stochastic differential equation with reflections in the positive orthant. In a special case one gets reflecting Brownian motion in the positive orthant which arises as approximation of queueing networks under heavy traffic conditions.
- Applying variance reduction ideas in queuing simulations
- Variance reduction in queueing simulation using generalized concomitant variables
- A Variant of the Conditional Expectation Variance Reduction Technique and Its Application to the Simulation of the GI/G/1 Queues
- Variance reduction approach for the volatility over a finite-time horizon
- Variance reduction for diffusions
- Variance Reduction for Simulated Diffusions
- scientific article; zbMATH DE number 1839759
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