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Functional Itô calculus, path-dependence and the computation of Greeks
(Elsevier Science Bv, 2017-12)
Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...
Simulações de Monte Carlo quântico: técnica variacional e integral de caminho
(Universidade Federal de Minas GeraisUFMG, 2009-03-10)
The Monte Carlo method is one of a series called stochastic methods which are characterized by employment of a random sequence of events for evaluating integrals numerically. The set of techniques that apply Monte Carlo ...
Learning effective state-feedback controllers through efficient multilevel importance samplers
(Taylor & Francis Ltd, 2019-12-21)
Monte Carlo sampling can be used to estimate the solution of path integral control problems, which are a restricted class of nonlinear control problems with arbitrary dynamics and state cost, but with a linear dependence ...
Path integral-molecular dynamics study of electronic states in supercritical water
(Amer Chemical SocWashingtonEUA, 2002)
Elastic constants of hcp He-4: Path-integral Monte Carlo results versus experiment
(Amer Physical SocCollege PkEUA, 2011)
The Dirac-delta functions for signal path-loss modeling at mid-sized urban areas
(Institute of Electrical and Electronics Engineers Inc., 2014-09)
A study of the Dirac-Delta functions with polynomial argument for modeling the signal path-loss in mid-sized urban areas is presented. From the fundamental "spike" property of the Dirac-Delta functions, or simply Delta, ...
Teoría de redes: implementación de algoritmos numéricos eficientes
(Universidad Michoacana de San Nicolás de Hidalgo, 2021-02)
The Monte Carlo method is a broad class of random sampling techniques. One feature of its power arises in the ability to compute complex multidimensional integrals simply through large sample sizes. In this thesis, we ...