Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 16, issue 3-4, 2010

Editiorial pp. 195-195

Dubus Alain and Sabelfeld Karl

Random packing of hyperspheres and Marsaglia's parking lot test pp. 197-209

Agapie Stefan C. and Whitlock Paula A.

Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice pp. 211-230

El Haddad Rami, Lécot Christian and Venkiteswaran Gopalakrishnan

Improved Halton sequences and discrepancy bounds pp. 231-250

Faure Henri and Lemieux Christiane

Generalizing Sudoku to three dimensions pp. 251-263

Lambert Tiffany A. and Whitlock Paula A.

Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing pp. 265-282

Christophe De Luigi and Maire Sylvain

Exact simulation of Bessel diffusions pp. 283-306

Makarov Roman N. and Glew Devin

A good permutation for one-dimensional diaphony pp. 307-322

Pausinger Florian and Schmid Wolfgang Ch.

Error bounds for computing the expectation by Markov chain Monte Carlo pp. 323-342

Rudolf Daniel

Stochastic iterative projection methods for large linear systems pp. 343-359

Sabelfeld Karl and Loshchina Nadja

Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model pp. 361-377

Sak Halis

A genetic algorithm approach to estimate lower bounds of the star discrepancy pp. 379-398

Shah Manan

Random and deterministic fragmentation models pp. 399-420

Wagner Wolfgang

MCMC imputation in autologistic model pp. 421-438

Zalewska Marta, Niemiro Wojciech and Samoliński Bolesław

Volume 16, issue 2, 2010

Approximate formulas for expectations of functionals of solutions to stochastic differential equations pp. 95-127

Egorov A. and Sabelfeld K.

Simulation of binary random fields with Gaussian numerical models pp. 129-142

Prigarin Sergei M., Martin Andreas and Winkler Gerhard

A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes pp. 143-165

Grigoriu M.

The Multilevel Monte Carlo method used on a Lévy driven SDE pp. 167-190

Marxen Henning

Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options pp. 191-193

Jourdain Benjamin and Sbai Mohamed

Volume 16, issue 1, 2010

Adaptive weak approximation of reflected and stopped diffusions pp. 1-67

Bayer Christian, Szepessy Anders and Tempone Raúl

A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation pp. 69-93

Jimenez Edwin, Lay Nathan and Hussaini M. Yousuff

Volume 15, issue 4, 2009

Multiple stochastic volatility extension of the Libor market model and its implementation pp. 285-310

Belomestny Denis, Mathew Stanley and Schoenmakers John

Scrambled Soboĺ sequences via permutation pp. 311-332

Mascagni Michael and Yu Haohai

Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients pp. 333-351

Neuenkirch Andreas and Zähle Henryk

A central limit theorem for the functional estimation of the spot volatility pp. 353-380

Ngo Hoang-Long and Ogawa Shigeyoshi

Volume 15, issue 3, 2009

Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling pp. 173-210

Bardou O., Frikha N. and Pagès G.

Comparison of descriptive statistics for multidimensional point sets pp. 211-228

Beachkofski Brian

Berry–Esseen inequalities for discretely observed diffusions pp. 229-239

Bishwal Jaya P. N.

Uniform generation of anonymous and neutral preference profiles for social choice rules pp. 241-255

Eğecioğlu Ömer

Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method pp. 257-284

Sabelfeld K. and Mozartova N.

Volume 15, issue 2, 2009

On the simulation of Markov chain steady-state distribution using CFTP algorithm pp. 91-105

Fakhouri H. and Nasroallah A.

The exponential-normal form and its application to ultra high energy cascades investigation pp. 107-133

Kirillov A. A. and Kirillov I. A.

On importance sampling in the problem of global optimization pp. 135-144

Missov Trifon I. and Ermakov Sergey M.

Bayesian and non-Bayesian analysis of mixed-effects PK/PD models based on differential equations pp. 145-167

Wang Yi, Eskridge Kent M., Nadarajah S. and Galecki Andrzey T.

Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications” pp. 169-172

Ökten Giray and Gnewuch Michael

Volume 15, issue 1, 2009

Spectral test and spectral distance for multiplicative generators with moduli 2p pp. 1-10

Nekrutkin V. and Sabitov R.

On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains pp. 11-47

Nyström Kaj and Önskog Thomas

Computer modeling of stationary particles transport in open cylindrical nanosystems by Monte Carlo method pp. 49-62

Pletnev Leonid, Gvozdev Maxim and Samartsau Kiryl

Stochastic simulation of particle transport by a random Darcy flow through a porous cylinder pp. 63-90

Sabelfeld K., Kurbanmuradov O. and Levykin A.

Volume 14, issue 4, 2008

Quasi-Monte Carlo methods for the Kou model pp. 281-302

Baldeaux Jan

A uniformly distributed sequence on the ring of p-adic integers pp. 303-310

Fujita Takahiko, Kaneko Hiroshi and Matsumoto Shin

Realizability of dynamic subgrid-scale stress models via stochastic analysis pp. 311-329

Heinz Stefan

Real-time scheme for the volatility estimation in the presence of microstructure noise pp. 331-342

Ogawa Shigeyoshi

PDF modeling and simulation of premixed turbulent combustion pp. 343-377

Stöllinger Michael and Heinz Stefan

Volume 14, issue 3, 2008

Deviational particle Monte Carlo for the Boltzmann equation pp. 191-268

Wagner Wolfgang

Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods pp. 269-279

Cao Y., Chi H., Milton C. and Zhao W.

Volume 14, issue 2, 2008

Application of kernel-based stochastic gradient algorithms to option pricing pp. 99-127

Barty Kengy, Girardeau Pierre, Strugarek Cyrille and Roy Jean-Sébastien

Component-by-component construction of low-discrepancy point sets of small size pp. 129-149

Doerr Benjamin, Gnewuch Michael, Kritzer Peter and Pillichshammer Friedrich

Generalized Becker–Döring equations modeling the time evolution of a process of preferential attachment with fitness pp. 151-170

Guiaş Flavius

Sigma-algebra theorems pp. 171-189

Halton John H.

Volume 14, issue 1, 2008

Sequential Monte Carlo for linear systems – a practical summary pp. 1-27

Halton John H.

Some new simulations schemes for the evaluation of Feynman–Kac representations pp. 29-51

Maire Sylvain and Tanré Etienne

Spectra of Perron–Frobenius operator and new construction of two dimensional low discrepancy sequences pp. 53-74

Mori Makoto

Computing percentage points of the largest among Student's t random variables pp. 75-84

Nadarajah Saralees

A new nonrecursive pseudorandom number generator based on chaos mappings pp. 85-98

Yaguchi Hirotake and Kubo Izumi