Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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.

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

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

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

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

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.

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

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.