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The University of Southampton
Mathematical Sciences

Research project: Stochastic Simulation

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Professor Russell Cheng, Dr Athanassios N Avramidis and Dr Christine Currie have interests in Stochastic Simulation Modelling and, Design and Analysis of Statistical Simulation Experiments.

Stochastic Simulation Modelling

Current research interests include: the construction of stochastic simulation models for the analysis of airline ticket pricing, revenue management models; epidemiological models, especially TB and HIV; healthcare modelling; Markov combat models; Models of Fire Service Emergency Cover.

 

Design and Analysis of Statistical Simulation Experiments

Current interests include: the design of bootstrapping techniques especially suited to the analysis of simulation results; input modelling, such as the use of stochastic mixture models and the estimation of normal-copula models; techniques for improving simulation efficiency, and their application in pricing financial derivatives.

Though methodological in focus, much of the work has been supported by outside organisations and carried out with their collaboration. Recent sponsors have included:

  • World Health Organisation
  • National Air Traffic Services
  • bmi
  • DSTL
  • Office of the Deputy Prime Minister (now the Department of Communities and Local Government)

Related research groups

Operational Research
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