Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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

Volume 23, issue 4, 2017

Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem pp. 213-220

Simonov Nikolai A.

A random cloud algorithm for the Schrödinger equation pp. 221-240

Kraft Markus and Wagner Wolfgang

Numerical approximation of BSDEs using local polynomial drivers and branching processes pp. 241-263

Bouchard Bruno, Tan Xiaolu, Warin Xavier and Zou Yiyi

Quasi-Monte Carlo simulation of differential equations pp. 265-275

Chouraqui Aïcha, Lécot Christian and Djebbar Bachir

Simulation of Gaussian stationary Ornstein–Uhlenbeck process with given reliability and accuracy in space C⁢([0,T])C([0,T]) pp. 277-286

Kozachenko Yuriy and Petranova Marina

HMM with emission process resulting from a special combination of independent Markovian emissions pp. 287-306

Nasroallah Abdelaziz and Elkimakh Karima

Volume 23, issue 3, 2017

A method for the calculation of characteristics for the solution to stochastic differential equations pp. 149-157

Egorov Alexander and Malyutin Victor

The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models pp. 159-164

Emma Iglesias and Phillips Garry D. A.

Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies pp. 165-188

Grigoriu Mircea

Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems pp. 189-212

Sabelfeld Karl K.

Volume 23, issue 2, 2017

Invariant density estimation for a reflected diffusion using an Euler scheme pp. 71-88

Cattiaux Patrick, León José R. and Prieur Clémentine

Feistel-inspired scrambling improves the quality of linear congruential generators pp. 89-99

Aljahdali Asia and Mascagni Michael

Stochastic polynomial chaos expansion method for random Darcy equation pp. 101-110

Shalimova Irina A. and Sabelfeld Karl K.

Effect of covariate misspecifications in the marginalized zero-inflated Poisson model pp. 111-120

Iddi Samuel and Nwoko Esther O.

Stochastic mesh method for optimal stopping problems pp. 121-129

Kashtanov Yuri

Computing with bivariate COM-Poisson model under different copulas pp. 131-146

Mamode Khan Naushad, Rumjaun Wasseem, Sunecher Yuvraj and Jowaheer Vandna

Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher pp. 147-147

Fathi-Vajargah Behrouz and Kanafchian Mohadeseh

Volume 23, issue 1, 2017

Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes pp. 1-12

Rey Clément

On the tangent model for the density of lines and a Monte Carlo method for computing hypersurface area pp. 13-20

El Khaldi Khaldoun and Saleeby Elias G.

MCMC design-based non-parametric regression for rare event. Application to nested risk computations pp. 21-42

Fort Gersende, Gobet Emmanuel and Moulines Eric

Limit theorems for weighted and regular Multilevel estimators pp. 43-70

Giorgi Daphné, Lemaire Vincent and Pagès Gilles

Volume 22, issue 4, 2016

Random walk on spheres method for solving drift-diffusion problems pp. 265-275

Sabelfeld Karl K.

On the construction of boundary preserving numerical schemes pp. 277-289

Halidias Nikolaos

Perfect and ε-perfect simulation methods for the one-dimensional Kac equation pp. 291-305

Corcoran Jem N., Jennings Dale and VaughanMiller Paul

Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process pp. 307-322

Benabdallah Mohsine, Elkettani Youssfi and Hiderah Kamal

Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher pp. 323-335

Fathi-Vajargah Behrouz and Kanafchian Mohadeseh

The planar Couette flow with slip and jump boundary conditions in a microchannel pp. 337-347

Hssikou Mohamed, Baliti Jamal and Alaoui Mohammed

A search for extensible low-WAFOM point sets pp. 349-357

Harase Shin

Volume 22, issue 3, 2016

A new proof of geometric convergence for the adaptive generalized weighted analog sampling (GWAS) method pp. 161-196

Kong Rong and Spanier Jerome

Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators pp. 197-228

Al Gerbi Anis, Jourdain Benjamin and Clément Emmanuelle

Numerical computation for backward doubly SDEs with random terminal time pp. 229-258

Matoussi Anis and Sabbagh Wissal

Vector Monte Carlo stochastic matrix-based algorithms for large linear systems pp. 259-264

Sabelfeld Karl K.

Volume 22, issue 2, 2016

Information geometry, simulation and complexity in Gaussian random fields pp. 81-107

Levada Alexandre L.

On the complexity of binary floating point pseudorandom generation pp. 109-116

Nekrutkin Vladimir

Random walk on semi-cylinders for diffusion problems with mixed Dirichlet–Robin boundary conditions pp. 117-131

Sabelfeld Karl K.

The acceptance-rejection method for low-discrepancy sequences pp. 133-148

Nguyen Nguyet and Ökten Giray

Study and simulation of the sputtering process of material layers in plasma pp. 149-159

Bouazza Abdelkader and Settaouti Abderrahmane

Volume 22, issue 1, 2016

An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers pp. 1-23

Dereudre David, Mazzonetto Sara and Roelly Sylvie

Special quasirandom structures: A selection approach for stochastic homogenization pp. 25-54

Le Bris Claude, Legoll Frédéric and Minvielle William

Splitting and survival probabilities in stochastic random walk methods and applications pp. 55-72

Sabelfeld Karl K.

The Manhattan Project, the first electronic computer and the Monte Carlo method pp. 73-79

Benov Dobriyan M.