Monte Carlo Methods and Applications

1995 - 2024

Current editor(s): Karl K. Sabelfeld

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Volume 30, issue 3, 2024

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

Planas Christophe and Rossi Alessandro

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

Volume 30, issue 2, 2024

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

Volume 30, issue 1, 2024

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

Pramesti Getut 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

Volume 29, issue 4, 2023

Analysis of wall-modelled particle/mesh PDF methods for turbulent parietal flows pp. 275-305

Balvet Guilhem, Minier Jean-Pierre, Roustan Yelva and Ferrand Martin

Stochastic simulation of electron transport in a strong electrical field in low-dimensional heterostructures pp. 307-322

Kablukova Evgeniya, Sabelfeld Karl K., Protasov Dmitry and Zhuravlev Konstantin

Randomized vector iterative linear solvers of high precision for large dense system pp. 323-332

Sabelfeld Karl K. and Kireeva Anastasiya

On the stationarity and existence of moments of the periodic EGARCH process pp. 333-350

Lescheb Ines and Slimani Walid

Statistical analysis of the estimates of some stationary performances of the unreliable M/M/1/N queue with Bernoulli feedback pp. 351-366

Nita Hadjer, Afroun Faïrouz, Cherfaoui Mouloud and Aïssani Djamil

Volume 29, issue 3, 2023

Pass-efficient randomized LU algorithms for computing low-rank matrix approximation pp. 181-202

Zhang Bolong and Mascagni Michael

Convergence of Langevin-simulated annealing algorithms with multiplicative noise II: Total variation pp. 203-219

Bras Pierre and Pagès Gilles

Total variation bound for Milstein scheme without iterated integrals pp. 221-242

Yamada Toshihiro

Bootstrap choice of non-nested autoregressive model with non-normal innovations pp. 243-258

Zamani Mehreyan Sedigheh

Computation of the steady-state probability of Markov chain evolving on a mixed state space pp. 259-274

Zakrad Az-eddine and Nasroallah Abdelaziz

Volume 29, issue 2, 2023

A time-step-robust algorithm to compute particle trajectories in 3-D unstructured meshes for Lagrangian stochastic methods pp. 95-126

Balvet Guilhem, Minier Jean-Pierre, Henry Christophe, Roustan Yelva and Ferrand Martin

Monte Carlo estimates of extremes of stationary/nonstationary Gaussian processes pp. 127-142

Grigoriu Mircea Dan

Two stochastic algorithms for solving elastostatics problems governed by the Lamé equation pp. 143-160

Kireeva Anastasiya, Aksyuk Ivan and Sabelfeld Karl K.

A Metropolis random walk algorithm to estimate a lower bound of the star discrepancy pp. 161-171

Alsolami Maryam and Mascagni Michael

Linking the Monte Carlo radiative transfer algorithm to the radiative transfer equation pp. 173-180

Valades-Pelayo Patricio J., Ramirez-Cabrera Manuel A. and Balbuena-Ortega Argelia

Volume 29, issue 1, 2023

Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process pp. 1-32

Pramesti Getut

Monte Carlo method for parabolic equations involving fractional Laplacian pp. 33-53

Jiao Caiyu and Li Changpin

Methodology for nonparametric bias reduction in kernel regression estimation pp. 55-77

Slaoui Yousri

Development and implementation of branching random walk on spheres algorithms for solving the 2D elastostatics Lamé equation pp. 79-93

Shalimova Irina and Sabelfeld Karl K.

Volume 28, issue 4, 2022

Controlled accuracy Gibbs sampling of order-constrained non-iid ordered random variates pp. 279-292

Corcoran Jem N. and Miller Caleb

Global random walk on grid algorithm for solving Navier–Stokes and Burgers equations pp. 293-305

Sabelfeld Karl K. and Bukhasheev Oleg

On the practical point of view of option pricing pp. 307-318

Halidias Nikolaos

Estimation of entropy and extropy based on right censored data: A Bayesian non-parametric approach pp. 319-328

Al-Labadi Luai and Tahir Muhammad

Superposition of forward and backward motion pp. 329-339

Harringer Manfred

A random walk algorithm to estimate a lower bound of the star discrepancy pp. 341-348

Alsolami Maryam and Mascagni Michael

Simulation of drift-diffusion process at high Péclet numbers by the random walk on spheres method pp. 349-367

Sabelfeld Karl K. and Aksyuk Ivan

Volume 28, issue 3, 2022

Scrambling additive lagged-Fibonacci generators pp. 199-210

Aldossari Haifa and Mascagni Michael

Sensitivity analysis of the concentration transport estimation in a turbulent flow pp. 211-219

Kolyukhin Dmitriy, Sabelfeld Karl K. and Dimov Ivan

Approximate bounding of mixing time for multiple-step Gibbs samplers pp. 221-233

Spade David

Standard deviation estimation from sums of unequal size samples pp. 235-253

Casquilho Miguel and Buescu Jorge

Simulation of transient and spatial structure of the radiative flux produced by multiple recombinations of excitons pp. 255-268

Sabelfeld Karl K. and Sapozhnikov Viacheslav

Monte Carlo simulation of sensitivity functions for few-view computed tomography of strongly absorbing media pp. 269-278

Konovalov Alexander, Vlasov Vitaly, Kolchugin Sergey, Malyshkin Gennady and Mukhamadiyev Rim

Volume 28, issue 2, 2022

A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting pp. 97-110

Akiyama Naho and Yamada Toshihiro

Berry–Esseen inequalities for the fractional Black–Karasinski model of term structure of interest rates pp. 111-124

Bishwal Jaya P. N.

Randomized Monte Carlo algorithms for matrix iterations and solving large systems of linear equations pp. 125-133

Sabelfeld Karl K.

On one way of modeling a stochastic process with given accuracy and reliability pp. 135-147

Ianevych Tetiana, Rozora Iryna and Pashko Anatolii

Moment matching adaptive importance sampling with skew-student proposals pp. 149-162

Wang Shijia and Swartz Tim

Bayesian estimation of a competing risk model based on Weibull and exponential distributions under right censored data pp. 163-174

Talhi Hamida, Aiachi Hiba and Rahmania Nadji

Refined descriptive sampling simulated annealing algorithm for solving the traveling salesman problem pp. 175-188

Cherabli Meriem, Ourbih-Tari Megdouda and Boubalou Meriem

Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients pp. 189-198

Hiderah Kamal

Volume 28, issue 1, 2022

A study of highly efficient stochastic sequences for multidimensional sensitivity analysis pp. 1-12

Dimov Ivan, Todorov Venelin and Sabelfeld Karl

A note on the asymptotic stability of the semi-discrete method for stochastic differential equations pp. 13-25

Halidias Nikolaos and Stamatiou Ioannis S.

Estimation of steady-state quantities of an HMM with some rarely generated emissions pp. 27-44

Zakrad Az-eddine and Nasroallah Abdelaziz

Recursive regression estimation based on the two-time-scale stochastic approximation method and Bernstein polynomials pp. 45-59

Slaoui Yousri and Helali Salima

Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models pp. 61-83

Ballesio Marco and Jasra Ajay

Simulation of Gaussian random field in a ball pp. 85-95

Kolyukhin Dmitriy and Minakov Alexander