Monte Carlo Methods and Applications

1995 - 2025

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

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

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

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

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

Yu Unjong, Jang Hoseung and Hwang Chi-Ok

A global random walk on grid algorithm for second order elliptic equations pp. 325-339

Sabelfeld Karl K., Smirnov Dmitry, Dimov Ivan and Todorov Venelin

Global sensitivity analysis of statistical models by double randomization method pp. 341-346

Kolyukhin Dmitriy

A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems pp. 347-371

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

Refas Salah Eddine Chouaib, Bouazza Abdelkader and Belhadji Youcef

Volume 27, issue 3, 2021

Estimating drift and minorization coefficients for Gibbs sampling algorithms pp. 195-209

Spade David A.

A global random walk on grid algorithm for second order elliptic equations pp. 211-225

Sabelfeld Karl K. and Smirnov Dmitrii

Neural network regression for Bermudan option pricing pp. 227-247

Lapeyre Bernard and Lelong Jérôme

Optimising Poisson bridge constructions for variance reduction methods pp. 249-275

Beentjes Casper H. L.

On the existence of posterior mean for Bayesian logistic regression pp. 277-288

Pham Huong T. T. and Pham Hoa

Volume 27, issue 2, 2021

Automatic control variates for option pricing using neural networks pp. 91-104

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

Halidias Nikolaos

High order weak approximation for irregular functionals of time-inhomogeneous SDEs pp. 117-136

Yamada Toshihiro

Optimal potential functions for the interacting particle system method pp. 137-152

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

Rabiei Nima and Saleeby Elias G.

On a Monte Carlo scheme for some linear stochastic partial differential equations pp. 169-193

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

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

Kharroubi Idris, Lim Thomas and Warin Xavier

Body tail adaptive kernel density estimation for nonnegative heavy-tailed data pp. 57-69

Ziane Yasmina, Zougab Nabil and Adjabi Smail

Sensitivity analysis of stochastic frontier analysis models pp. 71-90

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

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

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

Egorov Alexander

Implementing de-biased estimators using mixed sequences pp. 293-301

Polala Arun Kumar and Ökten Giray

Hidden Markov Model with Markovian emission pp. 303-313

Elkimakh Karima and Nasroallah Abdelaziz

On the density of lines and Santalo’s formula for computing geometric size measures pp. 315-323

El Khaldi Khaldoun and Saleeby Elias G.

Constructing a confidence interval for the ratio of normal distribution quantiles pp. 325-334

Malekzadeh Ahad and Mahmoudi Seyed Mahdi

Random walk on ellipsoids method for solving elliptic and parabolic equations pp. 335-353

Shalimova Irina and Sabelfeld Karl K.

Volume 26, issue 3, 2020

QMC integration errors and quasi-asymptotics pp. 171-176

Sobol Ilya M. and Shukhman Boris V.

Monte Carlo tracking drift-diffusion trajectories algorithm for solving narrow escape problems pp. 177-191

Sabelfeld Karl K. and Popov Nikita

Multilevel Monte Carlo by using the Halton sequence pp. 193-203

Nagy Shady Ahmed, El-Beltagy Mohamed A. and Wafa Mohamed

Estimating marginal likelihoods from the posterior draws through a geometric identity pp. 205-221

Reichl Johannes

Examining sharp restart in a Monte Carlo method for the linearized Poisson–Boltzmann equation pp. 223-244

Thrasher W. John and Mascagni Michael

Statistical modeling of three-dimensional fractal point sets with a given spatial probability distribution pp. 245-252

Kolyukhin Dmitriy

A weighted log-rank test for comparing two survival curves pp. 253-262

Lee Seung-Hwan and Lee Eun-Joo

Volume 26, issue 2, 2020

An index of teaching performance based on students’ feedback pp. 83-91

Marozzi Marco and Chowdhury Shovan

A neural network assisted Metropolis adjusted Langevin algorithm pp. 93-111

Müller Christian, Diedam Holger, Mrziglod Thomas and Schuppert Andreas

Unbiased estimation of the solution to Zakai’s equation pp. 113-129

Ruzayqat Hamza M. and Jasra Ajay

Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations pp. 131-161

Bourgey Florian, Stefano De Marco, Gobet Emmanuel and Zhou Alexandre

Binary decompositions of probability densities and random-bit simulation pp. 163-169

Nekrutkin Vladimir

Volume 26, issue 1, 2020

Why simple quadrature is just as good as Monte Carlo pp. 1-16

Vanslette Kevin, Al Alsheikh Abdullatif and Youcef-Toumi Kamal

Describing the Pearson 𝑅 distribution of aggregate data pp. 17-32

Torres David J.

Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process pp. 33-47

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

Thi Thu Pham Huong, Pham Hoa and Nur Darfiana

A Bayesian procedure for bandwidth selection in circular kernel density estimation pp. 69-82

Bedouhene Kahina and Zougab Nabil