ABSTRACT: Repeated convolution and truncation of a truncated fat-tailed distribution, instead of Monte Carlo simulation, for pricing a discrete, simple barrier option is presented. The parameters for ...
Introduction: Accurately predicting the remaining mechanical equipment is of great significance for ensuring the safe operation of the equipment and improving economic efficiency. Methods: To ...
A novel stochastic numerical scheme is introduced to solve stochastic differential equations. The development of the scheme is based on two different parts. One part finds the solution for the ...
ABSTRACT: The deterministic extended Korteweg-de Vries equation plays an essential role in the description of the creation and propagation of nonlinear waves in many fields. We study a stochastic ...
Abstract: Stochastic model predictive control (SMPC) can be used in a broad variety of fields, such as diverse optimization problems. One issue which recently emerges is that some random variables ...
Abstract: The paper deals with computer generation of pseudorandom numbers, random variables and stochastic processes. Inverse-transform method, composition method and acceptance-rejection method for ...
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