Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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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.

Volume 10, issue 3-4, 2004

Foreword pp. i-ii

Sabelfeld Karl

An outline of quasi-probability*: Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically pp. 183-196

Halton John H.

QMC techniques for CAT bond pricing* pp. 197-211

Albrecher Hansjörg, Hartinger Jürgen and Tichy Robert F.

Parallel Quasi-Monte Carlo Methods for Linear Algebra Problems pp. 213-219

Alexandov V., Atanassov E. and Dimov I.

Algorithm of statistical simulation of dynamic systems with distributed change of structure* pp. 221-226

Averina T. A.

Frequency Analysis of Semiconductor Devices Using Full-Band Cellular Monte Carlo Simulations pp. 227-233

Branlard J., Aboud S., Osuch P., Goodnick S. and Saraniti M.

The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term* pp. 235-244

Buckwar Evelyn

Subdiffusion and Superdiffusion in Lagrangian Stochastic Models of Oceanic Transport pp. 245-256

Castronovo Emilio and Kramer Peter R.

Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations pp. 257-264

Egorov A. D. and Zherelo A. V.

Normalization of the Spectral Test in High Dimensions pp. 265-274

Entacher Karl, Laimer Gerold, Röck Harald and Uhl Andreas

A spectral Monte Carlo method for the Poisson equation pp. 275-285

Gobet Emmanuel and Maire Sylvain

Convergence rate for spherical processes with shifted centres* pp. 287-296

Golyandina N.

On the Power of Quantum Algorithms for Vector Valued Mean Computation pp. 297-310

Heinrich Stefan

Parallel Quasirandom Walks on the Boundary pp. 311-319

Karaivanova Aneta, Mascagni Michael and Simonov Nikolai A.

Trajectory Splitting by Restricted Replication pp. 321-329

Keller Alexander

Upper Bounds for Bermudan Style Derivatives pp. 331-343

Kolodko A. and Schoenmakers J.

Stochastic Eulerian model for the flow simulation in porous media. Unconfined aquifers* pp. 345-357

Kolyukhin Dmitry

Solution of the Space-dependent Wigner Equation Using a Particle Model pp. 359-368

Kosina H., Nedjalkov M. and Selberherr S.

Subgrid Modeling of Filtration in a Porous Medium with Multiscale Log-Stable permeability pp. 369-376

Kuzmin G. A. and Soboleva O. N.

Comparison of Quasi-Monte Carlo-Based Methods for Simulation of Markov Chains pp. 377-384

Lécot Christian and Tuffin Bruno

Monte Carlo methods for fissured porous media: a gridless approach* pp. 385-392

Lejay Antoine

Smoothed Transformed Density Rejection* pp. 393-401

Leydold Josef and Hörmann Wolfgang

Adaptive adjoint Monte Carlo simulation for the uncertainty pp. 403-413

Made M. Magolu Monga, Smidts O. F. and Dubus A.

A Nuclear Measurement Technique of Water Penetration in Concrete Barriers pp. 415-422

Marseguerra M., Padovani E., Zio E. and Patelli F. Giacobbo E.

System availability and reliability analysis by direct Monte Carlo with biasing pp. 423-434

Marseguerra Mario, Zio Enrico and Bosi Francesco

On the Scrambled Halton Sequence pp. 435-442

Mascagni Michael and Chi Hongmei

Monte-Carlo simulation of the chord length distribution function across convex bodies, non-convex bodies and random media pp. 443-454

Mazzolo Alain and Roesslinger Benoît

Discrepancy of sequences generated by dynamical system pp. 455-459

Mori Makoto

Operator-Split Method for Variance Reduction in Stochastic Solutions of the Wigner Equation pp. 461-468

Nedjalkov M., Atanassov E., Kosina H. and Selberherr S.

Two variants of a stochastic Euler method for homogeneous balance differential equations* pp. 469-479

Nekrutkin V. and Potapov P.

Full band Monte Carlo simulation - beyond the semiclassical approach pp. 481-490

Nilsson Hans-Erik, Martinez Antonio and Hjelm Mats

Coin Tossing Algorithms for Integral Equations and Tractability pp. 491-498

Novak Erich and Pfeiffer Harald

Optimal Korobov Coefficients for Good Lattice Points in Quasi Monte Carlo Algorithms pp. 499-509

Papancheva R. Y.

A theoretical view on transforming low-discrepancy sequences from a cube to a simplex pp. 511-529

Pillards Tim and Cools Ronald

Weighted simulation of steady-state transport within the standard Monte Carlo paradigm pp. 531-539

Portolan Stefano, Iotti Rita C. and Rossi Fausto

Dynamic probabilistic method of numerical modeling of multidimensional hydrometeorological fields pp. 541-549

Protasov A. V. and Ogorodnikov V. A.

Quasirandom Sequences in Branching Random Walks* pp. 551-558

Rasulov Abdujabor, Karaivanova Aneta and Mascagni Michael

Discrete random walk on large spherical grids generated by spherical means for PDEs* pp. 559-574

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

Reusing paths in radiosity and global illumination pp. 575-585

Sbert Mateu, Bekaert Philippe and Halton John

Measures of Uniform Distribution in Wavelet Based Image Compression pp. 587-597

Schell Thomas, Uhl Andreas and Zinterhof Peter

Random Walk Algorithms for Estimating Effective Properties of Digitized Porous Media* pp. 599-608

Simonov N. A. and Mascagni M.

Security of Pseudo-random Generator and Monte Carlo Method pp. 609-615

Sugita Hiroshi

Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation* pp. 617-628

Tuffin Bruno

Monte Carlo Simulation of Narrow-Width SOI Devices: Incorporation of the Short Range Coulomb Interaction pp. 629-640

Vasileska Dragica and Ahmed Shaikh S.

Dagger-sampling variance reduction in Monte Carlo reliability analysis pp. 641-652

Zio E., Cammi A. and Cioncolini A.

Volume 10, issue 2, 2004

Exact simulation of nonlinear coagulation processes pp. 95-106

Fournier Nicolas and Giet Jean-Sébastien

Discrepancy of van der Corput sequences generated by piecewise linear transformations pp. 107-116

Ichikawa Yuko and Mori Makoto

Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting pp. 117-128

Khazen Michael and Dubi Arie

Approximating and Simulating Multivalued Stochastic Differential Equations pp. 129-152

Lepingle Dominique and Thao Nguyen Thi

Numerical Modeling of Large Scale Transport of Contminant Solutes Using the Global Random Walk Algorithm pp. 153-177

Suciu N., Vamoş C., Hardelauf H., Vanderborght J. and Vereecken H.

Volume 10, issue 1, 2004

Adaptative Monte Carlo Method, A Variance Reduction Technique pp. 1-24

Arouna Bouhari

Optimal Prediction in Molecular Dynamics pp. 25-50

Seibold Benjamin

Some results of error evaluation for a non-Gaussian simulation method pp. 51-68

Akian Jean-Luc and Puig Bénédicte

White noise and simulation of ordinary Gaussian processes pp. 69-89

Puig Bénédicte and Poirion Fabrice