Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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.

Volume 21, issue 4, 2015

The parallel replica method for computing equilibrium averages of Markov chains pp. 255-273

Aristoff David

Mathematical verification of the Monte Carlo maximum cross-section technique pp. 275-281

Antyufeev Victor S.

Infinite-dimensional Monte-Carlo integration pp. 283-299

Pantsulaia Gogi R.

Widening and clustering techniques allowing the use of monotone CFTP algorithm pp. 301-312

Bounnite Mohamed Yasser and Nasroallah Abdelaziz

Constructing positivity preserving numerical schemes for the two-factor CIR model pp. 313-323

Halidias Nikolaos

Simulation of random variates with the Morgenstern distribution pp. 325-328

Makhotkin Oleg A.

Volume 21, issue 3, 2015

Random cubatures and quasi-Monte Carlo methods pp. 179-187

Antonov Anton A. and Ermakov Sergej M.

Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods pp. 189-203

Kabanikhin Sergey I., Sabelfeld Karl K., Novikov Nikita S. and Shishlenin Maxim A.

Simulating from the Heston model: A gamma approximation scheme pp. 205-231

Bégin Jean-François, Bédard Mylène and Gaillardetz Patrice

Reliability and accuracy in the space Lp(T) for the calculation of integrals depending on a parameter by the Monte Carlo method pp. 233-244

Kozachenko Yuriy V. and Mlavets Yuriy Y.

A new numerical scheme for the CIR process pp. 245-253

Halidias Nikolaos

Volume 21, issue 2, 2015

Optimal switching problems under partial information pp. 91-120

Li Kai, Nyström Kaj and Olofsson Marcus

A class of probabilistic models for the Schrödinger equation pp. 121-137

Wagner Wolfgang

Computing the exit-time for a finite-range symmetric jump process pp. 139-152

Burch Nathanial and Lehoucq R. B.

Stochastic small perturbation based simulation technique for solving isotropic elastostatics equations pp. 153-161

Kolyukhin Dmitriy and Sabelfeld Karl K.

Memory efficient lagged-Fibonacci random number generators for GPU supercomputing pp. 163-174

Andersen Timothy D. and Mascagni Michael

A limit theorem for average dimensions pp. 175-178

Shukhman Boris V. and Sobol Ilya M.

Volume 21, issue 1, 2015

Functional quantization-based stratified sampling methods pp. 1-32

Corlay Sylvain and Pagès Gilles

Stochastic simulation of fluctuation-induced reaction-diffusion kinetics governed by Smoluchowski equations pp. 33-48

Sabelfeld Karl K., Levykin Alexander I. and Kireeva Anastasiya E.

Bayesian beta regression models with joint mean and dispersion modeling pp. 49-58

Cepeda-Cuervo Edilberto and Garrido Liliana

DSMC method for a two-dimensional flow with a gravity field in a square cavity pp. 59-67

Hssikou Mohamed, Baliti Jamal, Bouzineb Yassir and Alaoui Mohammed

Consensus in science pp. 69-76

Stallinga Peter and Khmelinskii Igor

A Matlab-based Monte Carlo algorithm for transport of gamma-rays in matter pp. 77-90

Sharifzadeh Mohsen, Afarideh Hosein, Khalafi Hosein and Gholipour Reza