Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 31, issue 1, 2025

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

Volume 30, issue 4, 2024

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

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

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

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

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

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

Getut Pramesti

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.