2 citations · 2 across the 3 of their papers we have counts for
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q-fin.MF2018
Affine Jump-Diffusions: Stochastic Stability and Limit Theorems
Xiaowei Zhang, Peter W. Glynn
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Me…
stat.ME2018
Scalable Stochastic Kriging with Markovian Covariances
Liang Ding, Xiaowei Zhang
Stochastic kriging is a popular technique for simulation metamodeling due to its exibility and analytical tractability. Its computational bottleneck is the inversion of a covarianc…
stat.ME2018
Stochastic Kriging for Inadequate Simulation Models
Lu Zou, Xiaowei Zhang
Stochastic kriging is a popular metamodeling technique for representing the unknown response surface of a simulation model. However, the simulation model may be inadequate in the s…