Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

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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.

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