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Monte Carlo Methods and Applications

1995 - 2022

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 28, issue 4, 2022

Controlled accuracy Gibbs sampling of order-constrained non-iid ordered random variates pp. 279-292 Downloads
Corcoran Jem N. and Miller Caleb
Global random walk on grid algorithm for solving Navier–Stokes and Burgers equations pp. 293-305 Downloads
Sabelfeld Karl K. and Bukhasheev Oleg
On the practical point of view of option pricing pp. 307-318 Downloads
Halidias Nikolaos
Estimation of entropy and extropy based on right censored data: A Bayesian non-parametric approach pp. 319-328 Downloads
Al-Labadi Luai and Tahir Muhammad
Superposition of forward and backward motion pp. 329-339 Downloads
Harringer Manfred
A random walk algorithm to estimate a lower bound of the star discrepancy pp. 341-348 Downloads
Alsolami Maryam and Mascagni Michael
Simulation of drift-diffusion process at high Péclet numbers by the random walk on spheres method pp. 349-367 Downloads
Sabelfeld Karl K. and Aksyuk Ivan

Volume 28, issue 3, 2022

Scrambling additive lagged-Fibonacci generators pp. 199-210 Downloads
Aldossari Haifa and Mascagni Michael
Sensitivity analysis of the concentration transport estimation in a turbulent flow pp. 211-219 Downloads
Kolyukhin Dmitriy, Sabelfeld Karl K. and Dimov Ivan
Approximate bounding of mixing time for multiple-step Gibbs samplers pp. 221-233 Downloads
Spade David
Standard deviation estimation from sums of unequal size samples pp. 235-253 Downloads
Casquilho Miguel and Buescu Jorge
Simulation of transient and spatial structure of the radiative flux produced by multiple recombinations of excitons pp. 255-268 Downloads
Sabelfeld Karl K. and Sapozhnikov Viacheslav
Monte Carlo simulation of sensitivity functions for few-view computed tomography of strongly absorbing media pp. 269-278 Downloads
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 Downloads
Akiyama Naho and Yamada Toshihiro
Berry–Esseen inequalities for the fractional Black–Karasinski model of term structure of interest rates pp. 111-124 Downloads
Bishwal Jaya P. N.
Randomized Monte Carlo algorithms for matrix iterations and solving large systems of linear equations pp. 125-133 Downloads
Sabelfeld Karl K.
On one way of modeling a stochastic process with given accuracy and reliability pp. 135-147 Downloads
Ianevych Tetiana, Rozora Iryna and Pashko Anatolii
Moment matching adaptive importance sampling with skew-student proposals pp. 149-162 Downloads
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 Downloads
Talhi Hamida, Aiachi Hiba and Rahmania Nadji
Refined descriptive sampling simulated annealing algorithm for solving the traveling salesman problem pp. 175-188 Downloads
Cherabli Meriem, Boubalou Meriem and Ourbih-Tari Megdouda
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 Downloads
Hiderah Kamal

Volume 28, issue 1, 2022

A study of highly efficient stochastic sequences for multidimensional sensitivity analysis pp. 1-12 Downloads
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 Downloads
Halidias Nikolaos and Stamatiou Ioannis S.
Estimation of steady-state quantities of an HMM with some rarely generated emissions pp. 27-44 Downloads
Zakrad Az-eddine and Nasroallah Abdelaziz
Recursive regression estimation based on the two-time-scale stochastic approximation method and Bernstein polynomials pp. 45-59 Downloads
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 Downloads
Ballesio Marco and Jasra Ajay
Simulation of Gaussian random field in a ball pp. 85-95 Downloads
Kolyukhin Dmitriy and Minakov Alexander

Volume 27, issue 4, 2021

A stochastic model, simulation, and application to aggregation of cadmium sulfide nanocrystals upon evaporation of the Langmuir–Blodgett matrix pp. 289-299 Downloads
Svit Kirill, Zhuravlev Konstantin, Kireev Sergey and Sabelfeld Karl K.
Random walk on spheres algorithm for solving steady-state and transient diffusion-recombination problems pp. 301-313 Downloads
Shalimova Irina and Sabelfeld Karl K.
A diffusion Monte Carlo method for charge density on a conducting surface at non-constant potentials pp. 315-324 Downloads
Yu Unjong, Jang Hoseung and Hwang Chi-Ok
A global random walk on grid algorithm for second order elliptic equations pp. 325-339 Downloads
Sabelfeld Karl K., Smirnov Dmitry, Dimov Ivan and Todorov Venelin
Global sensitivity analysis of statistical models by double randomization method pp. 341-346 Downloads
Kolyukhin Dmitriy
A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems pp. 347-371 Downloads
Izydorczyk Lucas, Oudjane Nadia and Russo Francesco
3D sputtering simulations of the CZTS, Si and CIGS thin films using Monte-Carlo method pp. 373-382 Downloads
Refas Salah Eddine Chouaib, Belhadji Youcef and Bouazza Abdelkader

Volume 27, issue 3, 2021

Estimating drift and minorization coefficients for Gibbs sampling algorithms pp. 195-209 Downloads
Spade David A.
A global random walk on grid algorithm for second order elliptic equations pp. 211-225 Downloads
Sabelfeld Karl K. and Smirnov Dmitrii
Neural network regression for Bermudan option pricing pp. 227-247 Downloads
Lapeyre Bernard and Lelong Jérôme
Optimising Poisson bridge constructions for variance reduction methods pp. 249-275 Downloads
Beentjes Casper H. L.
On the existence of posterior mean for Bayesian logistic regression pp. 277-288 Downloads
Pham Huong T. T. and Pham Hoa

Volume 27, issue 2, 2021

Automatic control variates for option pricing using neural networks pp. 91-104 Downloads
El Filali Ech-Chafiq Zineb, Lelong Jérôme and Reghai Adil
On the absorption probabilities and mean time for absorption for discrete Markov chains pp. 105-115 Downloads
Halidias Nikolaos
High order weak approximation for irregular functionals of time-inhomogeneous SDEs pp. 117-136 Downloads
Yamada Toshihiro
Optimal potential functions for the interacting particle system method pp. 137-152 Downloads
Chraibi Hassane, Dutfoy Anne, Galtier Thomas and Garnier Josselin
On intersection volumes of confidence hyper-ellipsoids and two geometric Monte Carlo methods pp. 153-167 Downloads
Rabiei Nima and Saleeby Elias G.
On a Monte Carlo scheme for some linear stochastic partial differential equations pp. 169-193 Downloads
Nakagawa Takuya and Tanaka Akihiro

Volume 27, issue 1, 2021

On the dependence structure and quality of scrambled (t, m, s)-nets pp. 1-26 Downloads
Wiart Jaspar, Lemieux Christiane and Dong Gracia Y.
Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process pp. 27-55 Downloads
Kharroubi Idris, Lim Thomas and Warin Xavier
Body tail adaptive kernel density estimation for nonnegative heavy-tailed data pp. 57-69 Downloads
Ziane Yasmina, Zougab Nabil and Adjabi Smail
Sensitivity analysis of stochastic frontier analysis models pp. 71-90 Downloads
Sakouvogui Kekoura, Saleem Shaik, Doetkott Curt and Magel Rhonda

Volume 26, issue 4, 2020

Drift velocity in GaN semiconductors: Monte Carlo simulation and comparison with experimental measurements pp. 263-271 Downloads
Kablukova Evgenia, Sabelfeld Karl, Protasov Dmitrii Y. and Zhuravlev Konstantin S.
Gaussian variant of Freivalds’ algorithm for efficient and reliable matrix product verification pp. 273-284 Downloads
Ji Hao, Mascagni Michael and Li Yaohang
An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion pp. 285-292 Downloads
Egorov Alexander
Implementing de-biased estimators using mixed sequences pp. 293-301 Downloads
Polala Arun Kumar and Ökten Giray
Hidden Markov Model with Markovian emission pp. 303-313 Downloads
Elkimakh Karima and Nasroallah Abdelaziz
On the density of lines and Santalo’s formula for computing geometric size measures pp. 315-323 Downloads
El Khaldi Khaldoun and Saleeby Elias G.
Constructing a confidence interval for the ratio of normal distribution quantiles pp. 325-334 Downloads
Malekzadeh Ahad and Mahmoudi Seyed Mahdi
Random walk on ellipsoids method for solving elliptic and parabolic equations pp. 335-353 Downloads
Shalimova Irina and Sabelfeld Karl K.

Volume 26, issue 3, 2020

QMC integration errors and quasi-asymptotics pp. 171-176 Downloads
Sobol Ilya M. and Shukhman Boris V.
Monte Carlo tracking drift-diffusion trajectories algorithm for solving narrow escape problems pp. 177-191 Downloads
Sabelfeld Karl K. and Popov Nikita
Multilevel Monte Carlo by using the Halton sequence pp. 193-203 Downloads
Nagy Shady Ahmed, Wafa Mohamed and El-Beltagy Mohamed A.
Estimating marginal likelihoods from the posterior draws through a geometric identity pp. 205-221 Downloads
Reichl Johannes
Examining sharp restart in a Monte Carlo method for the linearized Poisson–Boltzmann equation pp. 223-244 Downloads
Thrasher W. John and Mascagni Michael
Statistical modeling of three-dimensional fractal point sets with a given spatial probability distribution pp. 245-252 Downloads
Kolyukhin Dmitriy
A weighted log-rank test for comparing two survival curves pp. 253-262 Downloads
Lee Seung-Hwan and Lee Eun-Joo

Volume 26, issue 2, 2020

An index of teaching performance based on students’ feedback pp. 83-91 Downloads
Marozzi Marco and Chowdhury Shovan
A neural network assisted Metropolis adjusted Langevin algorithm pp. 93-111 Downloads
Müller Christian, Diedam Holger, Mrziglod Thomas and Schuppert Andreas
Unbiased estimation of the solution to Zakai’s equation pp. 113-129 Downloads
Ruzayqat Hamza M. and Jasra Ajay
Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations pp. 131-161 Downloads
Bourgey Florian, Stefano De Marco, Gobet Emmanuel and Zhou Alexandre
Binary decompositions of probability densities and random-bit simulation pp. 163-169 Downloads
Nekrutkin Vladimir

Volume 26, issue 1, 2020

Why simple quadrature is just as good as Monte Carlo pp. 1-16 Downloads
Vanslette Kevin, Al Alsheikh Abdullatif and Youcef-Toumi Kamal
Describing the Pearson 𝑅 distribution of aggregate data pp. 17-32 Downloads
Torres David J.
Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process pp. 33-47 Downloads
Hiderah Kamal
A Bayesian inference for the penalized spline joint models of longitudinal and time-to-event data: A prior sensitivity analysis pp. 49-68 Downloads
Thi Thu Pham Huong, Pham Hoa and Nur Darfiana
A Bayesian procedure for bandwidth selection in circular kernel density estimation pp. 69-82 Downloads
Bedouhene Kahina and Zougab Nabil
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