Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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

Volume 13, issue 5-6, 2008

The weighted variance minimization for options pricing pp. 333-351

Gormin A. A. and Kashtanov Y. N.

A quasilinear stochastic partial differential equation driven by fractional white noise pp. 353-367

Grecksch Wilfried and Roth Christian

A quasi-stochastic simulation of the general dynamics equation for aerosols pp. 369-388

Lécot C. and Tarhini A.

Skewed distributions generated by the Student's t kernel pp. 389-404

Nadarajah Saralees

Expansion of random boundary excitations for elliptic PDEs pp. 405-453

Sabelfeld Karl

Monte Carlo estimators for small sensitivity indices pp. 455-465

Sobol' I. M. and Myshetskaya E. E.

A use of algorithms for numerical modeling of order statistics pp. 467-483

Voytishek Anton, Myasnikov Alexandr and Saneev Leonid

Volume 13, issue 4, 2007

Fast GPU-based reuse of paths in radiosity pp. 253-273

Castro Francesc, Patow Gustavo, Sbert Mateu and Halton John H.

Approximations for expectations of functionals of solutions to stochastic differential equations pp. 275-285

Egorov A. D.

On approximation of matrix valued functional integrals pp. 287-298

Malyutin V.

Mixed initial-boundary value problem in particle modeling of microelectronic devices pp. 299-331

Nedjalkov M., Vasileska D., Dimov I. and Arsov G.

Volume 13, issue 3, 2007

Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations pp. 173-195

Arsham Hossein

Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation pp. 197-217

Kawai Reiichiro

Integral Evaluation Using the Δ-distribution. Simulation and Illustration pp. 219-225

Missov Trifon I.

Admissible and Asymptotically Optimal Linear Congruential Generators pp. 227-244

Nekrutkin V. and Samakhova M.

Pollard's rho attack on ECDLP and Threshold Schemes pp. 245-252

Vidya K. P.

Volume 13, issue 2, 2007

On a real-time scheme for the estimation of volatility pp. 99-116

Ogawa Shigeyoshi and Wakayama Koji

Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation pp. 117-133

Roth Christian

Exact retrospective Monte Carlo computation of arithmetic average Asian options pp. 135-171

Jourdain Benjamin and Sbai Mohamed

Volume 13, issue 1, 2007

An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution pp. 1-20

Huang M. L., Pollanen M. and Yuen W. K.

Comparison of Time–to–Event Data for Clinical Trials pp. 21-35

Nadarajah Saralees

Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity pp. 37-70

Pagès Gilles

A Fast Stratified Sampling Simulation of Coagulation Processes pp. 71-88

Sabelfeld K., Levykin A. and Privalova T.

On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors pp. 89-97

Sobol' Ilya M. and Shukhman Boris V.