Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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

Volume 20, issue 4, 2014

A numerical scheme based on semi-static hedging strategy pp. 223-235

Imamura Yuri, Ishigaki Yuta and Okumura Toshiki

A martingale approach to estimating confidence band with censored data pp. 237-243

Lee Seung-Hwan and Lee Eun-Joo

Hybrid Monte Carlo methods in credit risk management pp. 245-260

Del Chicca Lucia and Larcher Gerhard

Uncertainty quantification of world population growth: A self-similar PDF model pp. 261-277

Heinz Stefan

Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients pp. 279-289

Shalimova Irina A. and Sabelfeld Karl K.

Volume 20, issue 3, 2014

Quasi-Monte Carlo: A high-dimensional experiment pp. 167-171

Sobol Ilya M. and Shukhman Boris V.

A spectral method for isotropic diffusion equation with random concentration fluctuations of incoming flux of particles through circular-shaped boundaries pp. 173-180

Sabelfeld Karl K. and Levykin Alexander I.

Multilevel Monte Carlo for Asian options and limit theorems pp. 181-194

Ben Alaya Mohamed and Kebaier Ahmed

Toward a coherent Monte Carlo simulation of CVA pp. 195-216

Abbas-Turki Lokman A., Bouselmi Aych I. and Mohammed Mikou

Field-induced Kosterlitz–Thouless transition in critical triangular-lattice antiferromagnets pp. 217-221

Hwang Chi-Ok and Kim Seung-Yeon

Volume 20, issue 2, 2014

Rare event simulation for diffusion processes via two-stage importance sampling pp. 77-100

Metzler Adam and Scott Alexandre

High performance computing in quantitative finance: A review from the pseudo-random number generator perspective pp. 101-120

Mascagni Michael, Qiu Yue and Hin Lin-Yee

An efficient Monte Carlo solution for problems with random matrices pp. 121-136

Grigoriu Mircea

The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process pp. 137-144

Kozachenko Yuriy V. and Sergiienko Mykola P.

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization pp. 145-165

Kharroubi Idris, Langrené Nicolas and Pham Huyên

Volume 20, issue 1, 2014

Implementation and analysis of an adaptive multilevel Monte Carlo algorithm pp. 1-41

Hoel Håkon, Erik von Schwerin, Szepessy Anders and Tempone Raúl

A benchmark study of the Wigner Monte Carlo method pp. 43-51

Sellier Jean Michel, Nedjalkov Mihail, Dimov Ivan and Selberherr Siegfried

A new Green's function Monte Carlo algorithm for the solution of the three-dimensional nonlinear Poisson–Boltzmann equation: Application to the modeling of plasma sheath layers pp. 53-59

Chatterjee Kausik, Roadcap John R. and Singh Surendra

Competency of Monte Carlo and Black–Scholes in pricing Nifty index options: A vis-à-vis study pp. 61-76

Singh Vipul Kumar

Volume 19, issue 4, 2013

Generation of parallel modified Kronecker sequences pp. 261-271

Chi Hongmei

A new numerical scheme for a class of reflected stochastic differential equations pp. 273-279

Yang Xuewei

Worst case error for integro-differential equations by a lattice-Nyström method pp. 281-330

Rostamy Davoud, Jabbari Mohammad and Gadirian Mahshid

Preliminary control variates to improve empirical regression methods pp. 331-354

Ben Zineb Tarik and Gobet Emmanuel

Volume 19, issue 3, 2013

Levy–Baxter theorems for one class of non-Gaussian random fields pp. 171-182

Kozachenko Yury, Kurchenko Oleksandr and Synyavska Olga

On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations pp. 183-199

Zherelo Anatoly

Monte Carlo approximations of the Neumann problem pp. 201-236

Maire Sylvain and Tanré Etienne

Comparison of random number generators via Fourier transform pp. 237-259

Imai Junichi

Volume 19, issue 2, 2013

Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model pp. 77-105

Mascagni Michael and Hin Lin-Yee

Double-barrier first-passage times of jump-diffusion processes pp. 107-141

Fernández Lexuri, Hieber Peter and Scherer Matthias

An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem pp. 143-169

Richard V. Field, Grigoriu Mircea and Dohrmann Clark R.

Volume 19, issue 1, 2013

A direct inversion method for non-uniform quasi-random point sequences pp. 1-9

Schretter Colas and Niederreiter Harald

A parallel algorithm for solving BSDEs pp. 11-39

Labart Céline and Lelong Jérôme

Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process pp. 41-71

Étoré Pierre and Martinez Miguel

Erratum: Fast simulation of Gaussian random fields [Monte Carlo Methods Appl. 17 (2011), 195–214] pp. 73-75

Lang Annika and Potthoff Jürgen