Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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.

Volume 12, issue 5, 2006

Policy iteration for american options: overview pp. 347-362

Bender Christian, Kolodko Anastasia and Schoenmakers John

Quasi- Monte Carlo algorithms for solving linear algebraic equations pp. 363-384

S.M. Ermakov and A. Rukavishnikova

A Repetition Test for Pseudo-Random Number Generators pp. 385-393

Gil Manuel, Gonnet Gaston H. and Petersen Wesley P.

Stochastic Spectral and Fourier-Wavelet Methods for Vector Gaussian Random Fields pp. 395-445

Kurbanmuradov O. and Sabelfeld K.

Determination of Software Reliability based on Multivariate Exponential, Lomax and Weibull Models pp. 447-459

Nadarajah Saralees and Kotz Samuel

Optimal Control and Stochastic Parameter Estimation pp. 461-476

Ngnepieba Pierre, Hussaini M. Y. and Debreu Laurent

Parameter estimation in multi particle Lagrangian stochastic models pp. 477-493

Piterbarg Leonid I.

An Empirical Study on the Accuracy of Ratio and Regression Estimators in the Presence of Measurement Errors pp. 495-501

Sahoo L.N., Sahoo R.K. and Senapati S.C.

Volume 12, issue 3, 2006

First Order Strong Approximations of Jump Diffusions pp. 191-209

Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios and Eckhard Platen

Exponential bounds for the probability deviations of sums of random fields pp. 211-229

Kurbanmuradov O. and Sabelfeld K.

Stratified sampling and quasi-Monte Carlo simulation of Lévy processes pp. 231-238

Leobacher G.

A comparison of model selection indices for nested latent class models pp. 239-259

Lin Ting Hsiang

Portfolio Resampling in Malaysian Equity Market pp. 261-269

Mansor Siti Nurleena Abu, Baharum Adam and Kamil Anton Abdulbasah

Monte Carlo Simulations of Solid 2D Phase Growth on 1D Solid Substrates with Square-Wave Surface Profiles. Influence of Hole Design and Depositing Particle Surface Diffusion pp. 271-289

Nieto F. J. Rodríguez, Pasquale M. A., Martins M. E., Bareilles F.A. and Arvia A. J.

A stochastic approximation scheme and convergence theorem for particle interactions with perfectly reflecting boundary conditions pp. 291-342

Wells C. G.

Volume 12, issue 2, 2006

A Taylor space for multivariate integration pp. 99-112

Dick Josef

Sequential Monte Carlo Techniques for Solving Non-Linear Systems pp. 113-141

Halton John H.

Balanced Milstein Methods for Ordinary SDEs pp. 143-170

Christian Kahl and Schurz Henri

An importance sampling method based on the density transformation of Lévy processes pp. 171-186

Kawai Reiichiro

Volume 12, issue 1, 2006

A best possible upper bound on the star discrepancy of (t, m, 2)-nets pp. 1-17

Dick Josef and Kritzer Peter

Explicit stochastic ODE solution methods applied to high-temperature combustion pp. 19-45

Mosbach S. and Kraft M.

On the Warnock-Halton quasi-standard error pp. 47-54

Owen Art B.

Random Walk on Fixed Spheres for Laplace and Lamé equations pp. 55-93

Sabelfeld K. K., Shalimova I. A. and Levykin A. I.

Volume 11, issue 4, 2005

On the discretization schemes for the CIR (and Bessel squared) processes pp. 355-384

Alfonsi Aurélien

Dirichlet Forms in Simulation pp. 385-395

Bouleau Nicolas

Investigation of methods of numerical integration with optimal convergence speed pp. 397-406

E.G. Kablukova

Functional quantization for numerics with an application to option pricing pp. 407-446

Pagès Gilles and Printems Jacques

The discrete-stochastic approaches to solving the linearized Boltzmann equation pp. 447-462

Plotnikov Mikhail and Shkarupa Elena

Volume 11, issue 3, 2005

Quasi-Probability: Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically pp. 203-350

Halton John H.

Volume 11, issue 2, 2005

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach pp. 97-133

Bally Vlad, Caramellino Lucia and Zanette Antonino

Asymptotical behavior of linear congruential generators pp. 135-162

Gerlovina V. and Nekrutkin V.

Construction of three-dimensional low discrepancy sequences pp. 163-174

Mori Makoto

Direct Simulation and Mass Flow Stochastic Algorithms to Solve a Sintering-Coagulation Equation pp. 175-197

Wells Clive G. and Kraft Markus

Volume 11, issue 1, 2005

An ε-Optimal Portfolio with Stochastic Volatility pp. 1-14

Gabih Abdelali and Grecksch Wilfried

Stochastic flow simulation in 3D porous media pp. 15-37

Kolyukhin Dmitry and Sabelfeld Karl

Grid-based Quasi-Monte Carlo Applications pp. 39-55

Li Yaohang and Mascagni Michael

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation pp. 57-81

Pham Huyên, Runggaldier Wolfgang and Sellami Afef

On global sensitivity analysis of quasi-Monte Carlo algorithms pp. 83-92

Sobol´ I.M. and Kucherenko S.S.