In large random economies with heterogeneous agents, a standard stochastic framework presumes a random macro state, combined with idiosyncratic micro shocks. This can be formally represented by a random process consisting of a continuum of random variables that are conditionally independent given the macro state. However, this process satisfies a standard joint measurability condition only if t...

Tournament outcome uncertainty depends on: the design of the tournament; and the relative strengths of the competitors – the competitive balance. A tournament design comprises the arrangement of the individual matches, which we call the tournament structure, the seeding policy and the progression rules. In this paper, we investigate the effect of seeding policy for various tournament structures...

Whereas the use of traditional Monte Carlo simulation requires probability distributions for the uncertain parameters entering the system, distributionally robust Monte Carlo simulation does not. According to this new theory, instead of carrying out simulations using some rather arbitrary probability distribution such as Gaussian for the uncertain parameters, we provide a rather different presc...

In the area of financial mathematics Monte Carlo simulation is often successfully used to estimate the prices of certain products. However in many cases calibrating Monte Carlo based models to market prices turns out to be difficult due to stochastic noise arising in the objective functionals. This noise can be reduced by the use of fixed point-sets of random numbers which are reused for every ...

This paper argues that increased uncertainty, in certain situations, may actually encourage investment. Since earlier studies mostly base their arguments on the assumption of geometric Brownian motion, the study extends the assumption to alternative stochastic processes, such as mixed diffusion-jump, mean-reverting process, and jump amplitude process. A general approach of Monte Carlo simulatio...

in this paper, we consider a stochastic time-cost tradeoff problem (tctp) in pert networks for project management, in which all activities are subjected to a linear cost function and assumed to be exponentially distributed. the aim of this problem is to maximize the project completion probability with a pre-known deadline to a predefined probability such that the required additional cost is min...

Exercising real options often requires an implementation time, whereas financial options can be exercised instantly. Neglecting the implementation time needed to exercise a real option causes overvaluing that option. We develop lattice and Monte Carlo simulation techniques to value real option problems, where exercising the option requires an implementation time. We present the application of t...

a Faculty of Agriculture, Food & Natural Resources, The University of Sydney, NSW 2006, Australia b Department of Civil and Environmental Engineering, University of California, Irvine, 92697 CA, USA c Institute for Biodiversity and Ecosystem Dynamics (IBED), University of Amsterdam, Nieuwe Achtergracht 166, 1018 WV, Amsterdam, The Netherlands d Earth and Environmental Sciences Division, Los Ala...

We describe a new algorithm for Monte Carlo simulation of Ising spin systems and present results of a study comparing the speed of the new technique to that of a standard technique applied to a square lattice of 6400 spins evolving via single spin flips. We find that at temperatures T < T, , the critical temperature, the new technique is faster than the standard technique, being ten times faste...

Monte Carlo simulation is widely used to price complex nancial instruments. Recent theoretical results and extensive computer testing indicate that deterministic methods may be far superior in speed and conndence. Simulations using the Sobol or Faure points are examples of deterministic methods. For the sake of brevity, we refer to a deterministic method using the name of the sequence of points...