Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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A nested MLMC framework for efficient simulations on FPGAs pp. 173-188: Haas Irina-Beatrice and Giles Michael B.
On the applicability of Feynman–Kac path integral simulation to space-time fractional Schrödinger equations pp. 189-205: Datta Sumita, Datta Radhika Prosad and Rejcek James M.
Monte Carlo solvers of large linear systems with Toeplitz matrices, preconditioning, iterative refinement with applications to integral equations and acoustic inverse problem pp. 207-224: Sabelfeld Karl K. and Shafigulin Igor
Vanilla options as controls for estimating the conditional expectation of a European derivative payoff pp. 225-246: Chiu Eddie W. K.
Parameters estimation of the Rayleigh diffusion process: Inference aspects and application to real data pp. 247-255: Chakroune Yassine, Nafidi Ahmed and El Azri Abdenbi
Generation of nonrecursive 𝑛-bit pseudorandom numbers based on 𝛽-transformation on [1, 2) (𝑛 = 64, 128, 192, …, 8192) pp. 257-263: Yaguchi Hirotake

Impact of psychrometry on the aerosol distribution pattern in human lungs pp. 91-107: Dhaundiyal Alok and Albrecht Gábor
Bayesian inference of traffic intensity in M/M/1 queue under symmetric and asymmetric loss functions pp. 109-118: Kushvaha Bhaskar, Das Dhruba and Tamuli Asmita
On the variance of Schatten p-norm estimation with Gaussian sketching matrices pp. 119-130: Horesh Lior, Kalantzis Vasileios, Lu Yingdong and Nowicki Tomasz
A meshfree Random Walk on Boundary algorithm with iterative refinement pp. 131-143: Shalimova Irina and Sabelfeld Karl K.
Combining randomized and deterministic iterative algorithms for high accuracy solution of large linear systems and boundary integral equations pp. 145-162: Sabelfeld Karl K. and Agarkov Georgy
Preservation of structural properties of the CIR model by θ-Milstein schemes pp. 163-171: Llamazares-Elias Samir and Tocino Ángel Andrés

Adaptive Bayesian bandwidth based on LPE kernel for asymmetric kernel density pp. 1-12: Makhloufi Sylia, Zougab Nabil, Ziane Yasmina and Adjabi Smail
New contribution to Luria–Delbrück distribution. Stability property and estimation pp. 13-28: Boughrara Sabrina, Bedouhene Fazia and Zougab Nabil
Mixed space coupled hidden Markov model pp. 29-42: Kroumbi Hafssa and Nasroallah Abdelaziz
Evaluating the performance and robustness of PIR and QIR maintenance strategies using Monte Carlo method pp. 43-58: Cheikh Khamiss, Boudi El Mostapha, Rabi Rabi, Mokhliss Hamza and Ennaji Hamadi
Convergence of a particle Monte Carlo algorithm for scalar conservation laws pp. 59-73: Towers John D.
Generalized Hermite process: Tempering, properties and applications pp. 75-90: Araya Héctor

Investigating the ecological fallacy through sampling distributions constructed from finite populations pp. 331-363: Torres David J. and Rouson Damain
Bernoulli factory: The 2𝚙-coin problem pp. 365-374: Hu Shenggang, Zhang Bo, Dai Hongsheng and Liang Wei
Randomized vector algorithm with iterative refinement for solving boundary integral equations pp. 375-388: Sabelfeld Karl K. and Agarkov Georgy
Application of semiclassical approximation to stochastic differential equations pp. 389-395: Malyutin Victor and Nurjanov Berdakh
Trapezoidal and Simpson’s methods with a random design pp. 397-411: Kaeshammer Thibaud, Paroissin Christian and Urmeneta Herna
Periodic INAR(1) model with Bell innovations distribution pp. 413-430: Manaa Abderrahmen
Effect of biaxial strain on the binding energies of adsorbed In and Al atoms on (001) surfaces of InAs and AlAs pp. 431-436: Aleksandrov Ivan A., Gulyaev Dmitry V., Kolosovsky Eugeny A. and Zhuravlev Konstantin S.
Estimating pharmacokinetic parameters from Dynamic Contrast-Enhanced T 1-weighted MRI using a three level hierarchical Bayesian model pp. 437-448: Bouchebbah Kahina and Zougab Nabil
Bayesian analysis of the COVID-19 pandemic using a Poisson process with change-points pp. 449-465: Majidizadeh Masoud

Joint application of the Monte Carlo method and computational probabilistic analysis in problems of numerical modeling with data uncertainties pp. 217-223: Dobronets Boris and Popova Olga
Another hybrid conjugate gradient method as a convex combination of WYL and CD methods pp. 225-234: Guefassa Imane, Chaib Yacine and Bechouat Tahar
Random walk algorithms for solving nonlinear chemotaxis problems pp. 235-248: Sabelfeld Karl K. and Bukhasheev Oleg
A novel portfolio optimization method and its application to the hedging problem pp. 249-267: Halidias Nikolaos
Dynamics of a multigroup stochastic SIQR epidemic model pp. 269-280: Lamei Sanaz and Akbari Mozhgan
Optimal oversampling ratio in two-step simulation pp. 281-297: Naidu Srinath R. and Venkiteswaran Gopalakrishnan
The slice sampler and centrally symmetric distributions pp. 299-313: Christophe Planas and Alessandro Rossi
Simulation of doubly stochastic Poisson point processes and application to nucleation of nanocrystals and evaluation of exciton fluxes pp. 315-330: Sabelfeld Karl K. and Glazkov Stepan

Likelihood and decoding problems for mixed space hidden Markov model pp. 93-105: Kroumbi Hafssa and Nasroallah Abdelaziz
A weight Monte Carlo estimation of fluctuations in branching processes pp. 107-129: Uchaikin Vladimir and Kozhemiakina Elena
Choice of a constant in the expression for the error of the Monte Carlo method pp. 131-136: Bryzgalov Viktor, Shlimbetov Nurlibay and Voytishek Anton
Estimation in shape mixtures of skew-normal linear regression models via ECM coupled with Gibbs sampling pp. 137-148: Alizadeh Ghajari Zakaria, Zare Karim and Shokri Soheil
An improved unbiased particle filter pp. 149-162: Jasra Ajay, Maama Mohamed and Ombao Hernando
Partitions for stratified sampling pp. 163-181: Clément François, Kirk Nathan and Pausinger Florian
A gradient method for high-dimensional BSDEs pp. 183-203: Kossi Gnameho, Stadje Mitja and Antoon Pelsser
On bias reduction in parametric estimation in stage structured development models pp. 205-216: Pham Hoa, Pham Huong T. T. and Yow Kai Siong

Option pricing: Examples and open problems pp. 1-17: Halidias Nikolaos
A wavelet-based method in aggregated functional data analysis pp. 19-30: dos Santos Sousa Alex Rodrigo
Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary pp. 31-41: Bahaj Faiz and Hiderah Kamal
On the estimation of periodic signals in the diffusion process using a high-frequency scheme pp. 43-53: Getut Pramesti and Saptono Ristu
Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition pp. 55-72: Coffie Emmanuel
Random walk on spheres method for solving anisotropic transient diffusion problems and flux calculations pp. 73-80: Shalimova Irina and Sabelfeld Karl
Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system pp. 81-92: Djabali Yasmina, Hakmi Sedda, Zougab Nabil and Aïssani Djamil