Search results for "Monte Carlo method."
showing 10 items of 1217 documents
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
A stochastic method for robustness analysis in sorting problems
2009
ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust conclusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation is applied in this in order to desc…
Exact stationary solution for a class of non-linear systems driven by a non-normal delta-correlated process
1995
In this paper the exact stationary solution in terms of probability density function for a restricted class of non-linear systems under both external and parametric non-normal delta-correlated processes is presented. This class has been obtained by imposing a given probability distribution and finding the corresponding dynamical system which satisfies the modified Fokker-Planck equation. The effectiveness of the results has been verified by means of a Monte Carlo simulation.
ORDERING KINETICS IN QUASI-ONE-DIMENSIONAL ISING-LIKE SYSTEMS
1993
We present results of a Monte Carlo simulation of the kinetics of ordering in the two-dimensional nearest-neighbor Ising model in anL xM geometry with two free boundaries of length M≫L. This model can be viewed as representing an adsorbant on a stepped surface with mean terrace widthL. We follow the ordering kinetics after quenches to temperatures 0.25 ⩽ T/Tc ⩽ 1 starting from a random initial configuration at a coverage ofΘ=0.5 in the corresponding lattice gas picture. The systems evolve in time according to a Glauber kinetics with nonconserved order parameter. The equilibrium structure is given by a one-dimensional sequence of ordered domains. The ordering process evolves from a short ini…
Dynamics analysis of distributed parameter system subjected to a moving oscillator with random mass, velocity and acceleration
2002
Abstract The problem of calculating the response of a distributed parameter system excited by a moving oscillator with random mass, velocity and acceleration is investigated. The system response is a stochastic process although its characteristics are assumed to be deterministic. In this paper, the distributed parameter system is assumed as a beam with Bernoulli–Euler type analytical behaviour. By adopting the Galerkin's method, a set of approximate governing equations of motion possessing time-dependent uncertain coefficients and forcing function is obtained. The statistical characteristics of the deflection of the beam are computed by using an improved perturbation approach with respect t…
A simplified analysis for the evaluation of stochastic response of elasto-plastic oscillators
1999
Abstract The paper deals with dynamic hysteretic oscillators without post-yielding hardening, called ideal elasto-plastic oscillators, subjected to white noise. They are characterized by the fact that they do not reach stationarity even though excited by stationary stochastic processes. A simplified solution procedure to capture this behaviour is presented in this paper. It is based on modelling the accumulated plastic deformations as a homogeneous compound Poisson process. In particular, two aspects are addressed in the paper: (1) evaluation of the probabilistic parameters of the accumulated plastic deformation process; and (2) evaluation of the second-order cumulants of the response by me…
Roughness of two nonintersecting one-dimensional interfaces.
2006
The dynamics of two spatially discrete one-dimensional single-step model interfaces with a noncrossing constraint is studied in both nonsymmetric propagating and symmetric relaxing cases. We consider possible scaling scenarios and study a few special cases by using continuous-time Monte Carlo simulations. The roughness of the interfaces is observed to be nonmonotonic as a function of time, and in the stationary state it is nonmonotonic also as a function of the strength of the effective force driving the interfaces against each other. This is related on the one hand to the reduction of the available configuration space and on the other hand to the ability of the interfaces to conform to eac…
Confined binary two-dimensional colloidal crystals: Monte Carlo simulation of crack formation.
2010
Binary mixtures (A, B) of colloidal particles of different sizes in two dimensions may form crystals with square lattice structure (the A-particles occupying the white sites and the B-particles the black sites of a checkerboard). Confining such a system by two parallel 'walls' a distance D apart, long-range order in the direction parallel to the walls is stabilized by 'corrugated walls' that are commensurate with the lattice structure but destabilized by structureless 'hard walls', even if there is no misfit between the strip width D and the crystal lattice spacing. The crossover to quasi-one-dimensional behavior is studied by Monte Carlo simulations, analyzing Lindemann parameters and disp…
Fractional Viscoelasticity Under Combined Stress and Temperature Variations
2020
Nowadays polymeric materials or composites with polymeric matrices are widely used in a very wide range of applications such as aerospace, automotive, biomedical and also civil engineering. From a mechanical point of view, polymers are characterized by high viscoelastic properties and high sensitiveness of mechanical parameters from temperature. Analytical predictions in real-life conditions of mechanical behaviour of such a kind of materials is not trivial for the intrinsic hereditariness that imply the knowledge of all the history of the material at hand in order to predict the response to applied external loads. If temperature variations are also present in the materials, a reliable eval…
Neutronic and photonic analysis of the water-cooled Pb17Li test blanket module for ITER-FEAT
2002
Abstract Within the European Fusion Technology Program, the Water-Cooled Lithium Lead (WCLL) DEMO breeding blanket line was selected in 1995 as one of the two EU lines to be developed in the next decade, in particular with the aim of manufacturing a Test Blanket Module (TBM) to be implemented in ITER. This specific goal has been maintained also in ITER-FEAT program even if the general design parameters of the TBMs have reported some changes. This paper is focused on the investigation of the WCLL-TBM nuclear response in ITER-FEAT through detailed 3D-Monte Carlo neutronic and photonic analyses. A 3D heterogeneous model of the most recent design of the WCLL-TBM has been set-up simulating reali…