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dc.contributor.advisorGoldsman, David M.
dc.contributor.authorMcDonald, Joshua L.
dc.date.accessioned2016-01-07T17:23:07Z
dc.date.available2016-01-07T17:23:07Z
dc.date.created2015-12
dc.date.issued2015-08-19
dc.date.submittedDecember 2015
dc.identifier.urihttp://hdl.handle.net/1853/54341
dc.description.abstractWe apply various variance reduction techniques to the estimation of Asian averages and options and propose an easy-to-use quasi-Monte Carlo method that can provide significant variance reductions with minimal increases in computational time. We have also extended these techniques to estimate higher moments of the Asians. We then use these estimated moments to efficiently implement Gram--Charlier based estimators for probability density functions of Asian averages and options. Finally, we investigate a ranking and selection application that uses post hoc analysis to determine how the circumstances of procedure termination affect the probability of correct selection.
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherGeorgia Institute of Technology
dc.subjectStatistics
dc.subjectSimulation
dc.subjectRanking and selection
dc.titleTopics in the statistical aspects of simulation
dc.typeDissertation
dc.description.degreePh.D.
dc.contributor.departmentIndustrial and Systems Engineering
thesis.degree.levelDoctoral
dc.contributor.committeeMemberAlexopoulos, Christos
dc.contributor.committeeMemberGarrow, Laurie
dc.contributor.committeeMemberGriffin, Paul
dc.contributor.committeeMemberVidakovic, Brani
dc.date.updated2016-01-07T17:23:07Z


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