Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 18, issue 4, 2012

A note on Newton's method for system of stochastic differential equations pp. 275-285

Habibi Reza

Quantization based recursive importance sampling pp. 287-326

Frikha Noufel and Sagna Abass

Dynamical system generated by algebraic method and low discrepancy sequences pp. 327-351

Mori Makoto and Mori Masaki

Improving the Monte Carlo estimation of boundary crossing probabilities by control variables pp. 353-377

Pötzelberger Klaus

Volume 18, issue 3, 2012

Quasi Monte Carlo methods applied to equations in transient regime on the Theis equation pp. 201-216

Azevedo Juarez S.

Stochastic boundary collocation and spectral methods for solving PDEs pp. 217-263

Sabelfeld Karl and Mozartova Nadezhda

A Green's function Monte Carlo algorithm for the Helmholtz equation subject to Neumann and mixed boundary conditions: Validation with an 1D benchmark problem pp. 265-273

Chatterjee Kausik and Anantapadmanabhan Akshay

Volume 18, issue 2, 2012

On the population median estimation using robust extreme ranked set sampling pp. 109-118

Al-Omari Amer Ibrahim and Amjad Al-Nasser

A mathematical formalization of the parallel replica dynamics pp. 119-146

Le Bris Claude, Lelièvre Tony, Luskin Mitchell and Perez Danny

A restarted estimation of distribution algorithm for solving sudoku puzzles pp. 147-160

Maire Sylvain and Prissette Cyril

Parallel random number generators in Monte Carlo derivative pricing: An application-based test pp. 161-179

Mascagni Michael and Hin Lin-Yee

Probabilistic error bounds for the discrepancy of mixed sequences pp. 181-200

Aistleitner Christoph and Hofer Markus

Volume 18, issue 1, 2012

Stochastic approximation with averaging innovation applied to Finance pp. 1-51

Laruelle Sophie and Pagès Gilles

The identification of price jumps pp. 53-77

Jan Hanousek, Evžen Kočenda and Novotný Jan

Discrepancy of higher rank polynomial lattice point sets pp. 79-108

Greslehner Julia and Pillichshammer Friedrich

Volume 17, issue 4, 2011

A general method for debiasing a Monte Carlo estimator pp. 301-315

Don McLeish

A probabilistic algorithm approximating solutions of a singular PDE of porous media type pp. 317-369

Nadia Belaribi, François Cuvelier and Francesco Russo

Pricing of barrier options by marginal functional quantization pp. 371-398

Abass Sagna

Non-negative regularization for systems of linear algebraic equations pp. 399-410

Victor S. Antyufeev

Variance of the simplest Monte Carlo estimators in the sign-changing case pp. 411-417

Sergej M. Ermakov

Volume 17, issue 3, 2011

Fast simulation of Gaussian random fields pp. 195-214

Lang Annika and Potthoff Jürgen

Simulation of sub-Gaussian processes using wavelets pp. 215-231

Turchyn Yevgen V.

Towards automatic global error control: Computable weak error expansion for the tau-leap method pp. 233-278

Karlsson Jesper and Tempone Raúl

Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes pp. 279-300

Kawai Reiichiro and Masuda Hiroki

Volume 17, issue 2, 2011

Calibration of financial models using quasi-Monte Carlo pp. 99-131

Eichler Andreas, Leobacher Gunther and Zellinger Heidrun

Hybrid modeling of homogenous gas-phase combustion reactions pp. 133-154

Brumback Terry E. and Chen Chien-Pin

Probability of large deviations of sums of random processes from Orlicz space pp. 155-168

Kozachenko Yu. V. and Mlavets Yu. Yu.

Critical branching random walk in an IID environment pp. 169-193

Engländer János and Sieben Nándor

Volume 17, issue 1, 2011

A note on approximating distribution functions of cusum and cusumsq tests pp. 1-10

Habibi Reza

Diffusion approximation of Lévy processes with a view towards finance pp. 11-45

Kiessling Jonas and Tempone Raúl

Efficient price sensitivity estimation of financial derivatives by weak derivatives pp. 47-75

Kloeden Peter E. and Sanz-Chacón Carlos

A framework for adaptive Monte Carlo procedures pp. 77-98

Lapeyre Bernard and Lelong Jérôme

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