The accurate characterization of input processes for simulation models can require the representation of dependencies among input values. Results are presented on the generation of dependent ...

The aim of this paper is to investigate discrete approximations of the exponential functional of Brownian motion (which plays an important role in Asian options of financial mathematics) with the help ...

A random variable is a mathematical function that maps outcomes of random experiments to numbers. It can be thought of as the numeric result of operating a non-deterministic mechanism or performing a ...