Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 25, issue 4, 2019

An aspect of optimal regression design for LSMC pp. 283-290

Weiß Christian and Nikolić Zoran

Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge pp. 291-305

Jang Hanbyeol, Wang Jian and Kim Junseok

A Bayesian approach for multi-stage models with linear time-dependent hazard rate pp. 307-316

Pham Hoa and Pham Huong T. T.

A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability pp. 317-327

Nasroallah Abdelaziz and Bounnite Mohamed Yasser

Geometry entrapment in Walk-on-Subdomains pp. 329-340

Hamlin Preston, Thrasher W. John, Keyrouz Walid and Mascagni Michael

A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus pp. 341-361

Naito Riu and Yamada Toshihiro

Volume 25, issue 3, 2019

A computational investigation of the optimal Halton sequence in QMC applications pp. 187-207

Bayousef Manal and Mascagni Michael

Gillespie algorithm and diffusion approximation based on Monte Carlo simulation for innovation diffusion: A comparative study pp. 209-215

Rajput Nikhil Kumar

Wavelet-based simulation of random processes from certain classes with given accuracy and reliability pp. 217-225

Turchyn Ievgen

Parallel MCMC methods for global optimization pp. 227-237

Zhang Lihao, Ye Zeyang and Deng Yuefan

A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion pp. 239-252

Okano Yusuke and Yamada Toshihiro

Quasi-Monte Carlo method for solving Fredholm equations pp. 253-257

Sobol I. M. and Shukhman B. V.

Generation of k-wise independent random variables with small randomness pp. 259-270

Achiha Taku, Sugita Hiroshi, Tonohiro Kenta and Yamamoto Yuto

A random walk on small spheres method for solving transient anisotropic diffusion problems pp. 271-282

Shalimova Irina and Sabelfeld Karl K.

Volume 25, issue 2, 2019

A third-order weak approximation of multidimensional Itô stochastic differential equations pp. 97-120

Naito Riu and Yamada Toshihiro

Particle diffusion Monte Carlo (PDMC) pp. 121-130

Zarezadeh Zakarya and Costantini Giovanni

Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems pp. 131-146

Sabelfeld Karl K.

Analysis of a non-Markovian queueing model: Bayesian statistics and MCMC methods pp. 147-154

Braham Hayette, Berdjoudj Louiza, Boualem Mohamed and Rahmania Nadji

On solving stochastic differential equations pp. 155-161

Ermakov Sergej M. and Pogosian Anna A.

On the sample-mean method for computing hyper-volumes pp. 163-176

Rabiei Nima and Saleeby Elias G.

Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator “getRDS” and the proposed “getLHS” using variance reduction pp. 177-186

Boubalou Meriem, Ourbih-Tari Megdouda, Aloui Abdelouhab and Zioui Arezki

Volume 25, issue 1, 2019

Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications pp. 1-36

Pagès Gilles and Rey Clément

A Monte Carlo method for backward stochastic differential equations with Hermite martingales pp. 37-60

Antoon Pelsser and Gnameho Kossi

Comparison of Sobol’ sequences in financial applications pp. 61-74

Harase Shin

Sensitivity of boundary crossing probabilities of the Brownian motion pp. 75-83

Gür Sercan and Pötzelberger Klaus

A global random walk on spheres algorithm for transient heat equation and some extensions pp. 85-96

Sabelfeld Karl K.

Volume 24, issue 4, 2018

Nesting Monte Carlo for high-dimensional non-linear PDEs pp. 225-247

Warin Xavier

Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero pp. 249-262

Benabdallah Mohsine and Hiderah Kamal

Global sensitivity analysis for a stochastic flow problem pp. 263-270

Kolyukhin Dmitriy

Sampling from the 𝒢I distribution pp. 271-287

Chan Debora, Rey Andrea, Gambini Juliana and Frery Alejandro C.

A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation pp. 289-308

Yamada Toshihiro and Yamamoto Kenta

On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters pp. 309-321

Lay Harold A., Colgin Zane, Reshniak Viktor and Khaliq Abdul Q. M.

Random walk algorithms for elliptic equations and boundary singularities pp. 323-327

Simonov Nikolai A.

Volume 24, issue 3, 2018

Monte Carlo simulation of nonlinear gravity driven Poiseuille–Couette flow in a dilute gas pp. 153-163

Baliti Jamal, Hssikou Mohamed and Alaoui Mohammed

The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation pp. 165-178

Tamiti Kenza, Ourbih-Tari Megdouda, Aloui Abdelouhab and Idjis Khelidja

Simulation of generalized fractional Brownian motion in C([0,T]) pp. 179-192

Kozachenko Yuriy, Pashko Anatolii and Vasylyk Olga

A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation pp. 193-202

Sabelfeld Karl K. and Eremeev Georgy

Markov-Chain Monte-Carlo methods and non-identifiabilities pp. 203-214

Müller Christian, Weysser Fabian, Mrziglod Thomas and Schuppert Andreas

Understanding the contribution of energy and angular distribution in the morphology of thin films using Monte Carlo simulation pp. 215-224

Bouazza Abdelkader and Settaouti Abderrahmane

Volume 24, issue 2, 2018

Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging pp. 79-92

Sabelfeld Karl K. and Kireeva Anastasiya

A quasi-Monte Carlo implementation of the ziggurat method pp. 93-99

Nguyen Nguyet, Xu Linlin and Ökten Giray

On the efficient simulation of the left-tail of the sum of correlated log-normal variates pp. 101-115

Alouini Mohamed-Slim, Ben Rached Nadhir, Kammoun Abla and Tempone Raul

Bayesian estimation of ordinary differential equation models when the likelihood has multiple local modes pp. 117-127

Liu Baisen, Wang Liangliang and Cao Jiguo

On the modeling of linear system input stochastic processes with given accuracy and reliability pp. 129-137

Rozora Iryna and Lyzhechko Mariia

Remarks on randomization of quasi-random numbers pp. 139-145

Ermakov Sergej M. and Leora Svetlana N.

On average dimensions of particle transport estimators pp. 147-151

Sobol Ilya M. and Shukhman Boris V.

Volume 24, issue 1, 2018

Fast generation of isotropic Gaussian random fields on the sphere pp. 1-11

Creasey Peter E. and Lang Annika

Weather derivatives pricing using regime switching model pp. 13-27

Evarest Emmanuel, Berntsson Fredrik, Singull Martin and Yang Xiangfeng

Pricing barrier options in the Heston model using the Heath–Platen estimator pp. 29-41

Coskun Sema and Korn Ralf

Random walk on spheres method for solving anisotropic drift-diffusion problems pp. 43-54

Shalimova Irina and Sabelfeld Karl K.

Monte-Carlo algorithms for a forward Feynman–Kac-type representation for semilinear nonconservative partial differential equations pp. 55-70

Le Cavil Anthony, Oudjane Nadia and Russo Francesco

A new hybrid cuckoo search and firefly optimization pp. 71-77

Elkhechafi Mariam, Hachimi Hanaa and Elkettani Youssfi