Some Guidelines and Guarantees for Common Random Numbers

DOI10.1287/MNSC.38.6.884MaRDI QIDQ4018309zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, David D. Yao

Publication date 16 January 1993

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.38.6.884

zbMATH Keywords

common random numbersDistribution comparisonsrandom number generatorssensitivity analysisstochastic systemsstructural comparisonsvariance reduction

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

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• Ranking and selection: a new sequential Bayesian procedure for use with common random numbers
• Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas
• Poisson count time series
• On the optimality and efficiency of common random numbers
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