Monte Carlo Methods and Applications

1995 - 2025

Current editor(s): Karl K. Sabelfeld

From De Gruyter
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Volume 9, issue 4, 2003

A Quasi Monte Carlo Approach to Piecewise Linear Markov Approximations of Markov Operators pp. 295-309

Ding Jiu, Mao Dong and Zhou Aihui

Approximate evaluation of a class of functional integrals over space of functions taking values ±1 pp. 307-314

Egorov A.D. and Malyutin V.B.

Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimations pp. 315-339

Kolodko A. and Sabelfeld K.

A Lagrangian Stochastic Model for the Transport in Statistically Homogeneous Porous Media pp. 341-366

Kurbanmuradov O., Sabelfeld K., Smidts O.F. and Vereecken H.

Significant FMRI Neurologic Synchrony Using Monte Carlo Methods pp. 367-385

Rowe Daniel B.

Volume 9, issue 3, 2003

A fractional stochastic evolution equation driven by fractional Brownian motion pp. 189-199

Anh V. V. and Grecksch W.

Monte Carlo Simulation of Boltzmann Equation in Space Plasma at High Latitudes pp. 201-217

Barghouthi Imad A., Qatanani Naji A. and Allan Fathi M.

Project duration prediction using a Monte Carlo simulation of the periodic output of the project resources pp. 217-225

Button Scott D.

Arithmetic average options in the hyperbolic model pp. 227-239

Larcher Gerhard, Predota Martin and Tichy Robert F.

Simulating a diffusion on a graph. Application to reservoir engineering pp. 241-255

Lejay Antoine

Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model pp. 257-269

Panagiotis Mantalos

Stochastic Eulerian model for the flow simulation in porous media pp. 271-290

Sabelfeld Karl and Kolyukhin Dmitry

Volume 9, issue 2, 2003

Weak first- and second-order numerical schemes for stochastic differential equations appearing in Lagrangian two-phase flow modeling pp. 93-133

Minier Jean-Pierre, Peirano Eric and Chibbaro Sergio

Optimal quadratic quantization for numerics: the Gaussian case pp. 135-165

Pagès Gilles and Printems Jacques

Stochastic Lagrangian footprint calculations over a surface with an abrupt change of roughness height pp. 167-188

Kurbanmuradov O., Levykin A., Rannik U., Sabelfeld K. and Vesala T.

Volume 9, issue 1, 2003

Central Limit Theorem for (n, k)-particle processes solving balance equations pp. 1-11

Golyandina N.

Kac particle systems with free motion and equations of Boltzmann type pp. 13-25

Nekrutkin V.

A partial sampling method applied to the Kusuoka approximation pp. 27-38

Ninomiya Syoiti

On a discrete stochastic approximation and its application to data analysis pp. 39-50

Ogihara Shuhei and Ogawa Shigeyoshi

Functional Random Walk on Spheres algorithm for biharmonic equation: optimization and error estimation pp. 51-65

Sabelfeld Karl and Shkarupa Elena

Modelling correlated random variables pp. 67-76

Sobol I.M. and Myshetskaya E.E.

On asymptotic behaviour of modelling time in the importance sampling method pp. 77-85

V.V. Shvets

Volume 8, issue 4, 2002

MTTF Estimation using importance sampling on Markov models pp. 321-342

Cancela Héctor, Rubino Gerardo and Tuffin Bruno

Minimal Entropy Approximations and Optimal Algorithms pp. 343-356

Crisan Dan and Lyons Terry

Large Investors, takeovers, and the rule of law pp. 357-370

Heritage J.P. and Rogers L.G.G.

An efficient stochastic chemistry approximation for the PDF transport equation pp. 371-394

Kraft Markus and Wagner Wolfgang

Jointly Distributed Mean and Mixing Coefficients for Bayesian Source Separation using MCMC and ICM pp. 395-404

Rowe Daniel B.

Effect of Cross-correlated Fluctuations on the Aerosol Dynamics: Monte Carlo Simulations pp. 405-420

Zapadinsky Evgeni, Pirjola Liisa and Kulmala Markku

Volume 8, issue 3, 2002

Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers pp. 221-236

Caramellino Lucia and Pacchiarotti Barbara

Decreasing step Stochastic algorithms: a.s. behaviour of weighted empirical measures pp. 237-270

Fort Jean-Claude and Pagès Gilles

Edgeworth type expansions for Euler schemes for stochastic differential equations pp. 271-286

Konakov Valentin and Mammen Enno

Method of trajectory rotation as a Monte Carlo variance reduction technique pp. 287-298

Moskvin Vadim and Papiez Lech

Propagation of chaos for Kac particle Systems pp. 299-316

Nekrutkin V. and Romkin K.

Volume 8, issue 2, 2002

Simulation of ruin probabilities for risk processes of Markovian type pp. 111-128

Albrecher Hansjörg and Kantor Josef

A Monte Carlo method without grid for a fractured porous domain model pp. 129-148

Campillo Fabien and Lejay† Antoine

The generalized van der Corput sequence and its application to numerical integration pp. 149-158

Fujita Takahiko, Ito Shunji and Ninomiya Syoiti

Construction of two dimensional low discrepancy sequences pp. 159-170

Mori Makoto

Random Walk on Spheres methods for iterative solution of elasticity problems pp. 171-202

Sabelfeld Karl K. and Shalimova Irina A.

Construction of a long-period nonalgebraic and nonrecursive pseudorandom number generator pp. 203-214

Hirotake Yaguchi

Volume 8, issue 1, 2002

Monte Carlo difference schemes for the wave equation pp. 1-30

M. Ermakov Sergej and Wagner Wolfgang

Monte Carlo Simulation of a Random Field Model for Transport pp. 31-50

Horntrop David J.

Using Genetic Operators to Speed up Markov Chain Monte Carlo Integration pp. 51-72

Lukka Tuomas J. and Kujala Janne V.

Mesoscopic Models for Viscoelastic flows: Coupling Finite Element and Monte Carlo Methods pp. 73-82

Bonvin John and Picasso Marco

Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps pp. 83-96

Kubilius Kestutis and Eckhard Platen

Some geometric properties of (0, m, 2)-nets in base b ≥ 2 pp. 97-106

Yi-Jun Xiao

Volume 7, issue 3-4, 2001

Rapid Diffusion Monte Carlo Algorithms for Fluid Dynamic Permeability pp. 213-222

Hwang Chi-Ok, Mascagni Michael and Given James A.

Stochastic Lagrangian model for spatially inhomogeneous Smoluchowski equation governing coagulating and diffusing particles pp. 223-228

Kolodko A. A. and Sabelfeld K. K.

A Review of Some Monte Carlo Simulation Methods for Turbulent Systems pp. 229-244

Kramer Peter R.

Analysis of relative dispersion of two particles by Lagrangian stochastic models and DNS methods pp. 245-264

Kurbanmuradov O.A., Orszag S.A., Sabelfeld K.K. and Yeung P.K.

Weak solution of semi-linear PDE, BSDE and homogenization pp. 265-272

Lejay Antoine

Classification of Digital Modulations Using MCMC Methods pp. 273-282

Stéphane Lesage, Tourneret Jean-Yves and Djurić Petar M.

A Quasi-Monte Carlo Method for Elliptic Boundary Value Problems pp. 283-294

Mascagni Michael, Karaivanova Aneta and Li Yaohang

Probabilistic approach to turbulent two-phase flows modelling and simulation: theoretical and numerical issues pp. 295-310

Minier Jean-Pierre

Approximations for Nonlinear Filters based on Quantisation pp. 311-320

Newton Nigel J.

On a class of SPDEs called Brownian particle equation – Model for nonlinear diffusions pp. 321-328

Ogawa Shigeyoshi

Diffusive Behavior of Interacting Particle Systems pp. 329-338

Olla Stefano

Tagged particles of interacting Brownian motions with skew symmetric drifts pp. 339-348

Osada Hirofumi

A recursive Monte Carlo method for the Boltzmann equation in the Maxwellian case pp. 349-358

Lorenzo Pareschi and Bernt Wennberg

On the discretization in time of parabolic stochastic partial differential equations pp. 359-368

Printems Jacques

Forward and Backward Stochastic Lagrangian Models for turbulent transport and the well-mixed condition pp. 369-382

Sabelfeld K. and Shalimova I.

Monte Carlo methods in neutron and photon transport problems pp. 383-396

Sentis R.

Real time transformation of pre-computed Monte Carlo results for fitting optical measurements in biomedical applications pp. 397-410

Tinet E., Tualle J.M., Ettori D. and Avrillier S.

Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents pp. 411-420

Wihstutz Volker

Volume 7, issue 1-2, 2001

Optimal Estimation of Amplitude and Phase Modulated Signals pp. 1-14

Andrieu †Christophe and Doucet‡ Arnaud

Some generic properties in backward stochastic differential equations with continuous coefficient pp. 15-20

Bahlali Khaled, Mezerdi Brahim and Ouknine Youssef

A stochastic quantization method for nonlinear problems pp. 21-34

Vlad Bally, Gilles Pagès and Jacques Printems

Convergence of Numerical Schemes for Stochastic Differential Equations pp. 35-44

Bernard Pierre and Fleury Gérard

A STOCHASTIC PARTICLE METHOD FOR THE SOLUTION OF A 1D VISCOUS SCALAR CONSERVATION LAW IN A BOUNDED INTERVAL pp. 45-54

Mireille Bossy and Benjamin Jourdain

Theoretical and numerical aspects of stochastic nonlinear Schrödinger equations pp. 55-64

A. de Bouard, Debussche A. and Di Menza L.

A Monte Carlo method to compute the exchange coefficient in the double porosity model pp. 65-72

Campillo Fabien and Lejay Antoine

A Monte Carlo Algorithm for a Lottery Problem pp. 73-80

Braverman Mark and Gueron Shay

Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation pp. 81-92

Cappé Olivier

Interacting Brownian particles with strong repulsion pp. 93-98

Cépa Emmanuel and Lépingle † Dominique

Non-Markovian Optimal Prediction pp. 99-110

Chorin Alexandre J., Hald Ole H. and Kupferman Raz

Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion pp. 111-124

Bent Jesper Christensen and Poulsen Rolf

A view on Noncommutative Large Deviations from a theory of Noncommutative Capacities pp. 125-130

Comman† Henri

A SIMPLE VARIANCE REDUCTION METHOD WITH APPLICATIONS TO FINANCE AND QUEUEING THEORY pp. 131-140

Costantini C.

A generalization of the Connection Between the Additive and Multiplicative Solutions for the Smoluchowski’s Coagulation Equation pp. 141-148

Madalina Deaconu and Etienne Tanré†

A RJMCMC Algorithm for Object Processes in Image Processing pp. 149-156

Xavier Descombes, Radu Stoica, Laurent Garcin and Josiane Zerubia

Stochastic algorithms for studying coagulation dynamics and gelation phenomena pp. 157-166

Eibeck Andreas and Wagner Wolfgang

Generalized Quantum Statistics and Testing of Randomizers with and without Asymptotic Assumptions pp. 167-176

Figotin A., Gordon A., Molchanov S., Quinn J. and Stavrakas N.

Monte-Carlo approximations for 2d homogeneous Boltzmann equations without cutoff and for non Maxwell molecules pp. 177-192

Fournier Nicolas and Méléard Sylvie

Efficient schemes for the weak approximation of reflected diffusions pp. 193-202

Emmanuel Gobet†

On Smoluchowski Equations for Coagulation Processes with Multiple Absorbing States pp. 203-212

Gueron Shay and Zuk Or