De Gruyter
Monte Carlo Methods and Applications
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June 2017, Volume 23, Issue 2
- 71-88 Invariant density estimation for a reflected diffusion using an Euler scheme
by Cattiaux Patrick & León José R. & Prieur Clémentine - 89-99 Feistel-inspired scrambling improves the quality of linear congruential generators
by Aljahdali Asia & Mascagni Michael - 101-110 Stochastic polynomial chaos expansion method for random Darcy equation
by Shalimova Irina A. & Sabelfeld Karl K. - 111-120 Effect of covariate misspecifications in the marginalized zero-inflated Poisson model
by Iddi Samuel & Nwoko Esther O. - 121-129 Stochastic mesh method for optimal stopping problems
by Kashtanov Yuri - 131-146 Computing with bivariate COM-Poisson model under different copulas
by Mamode Khan Naushad & Rumjaun Wasseem & Sunecher Yuvraj & Jowaheer Vandna - 147-147 Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher
by Fathi-Vajargah Behrouz & Kanafchian Mohadeseh
March 2017, Volume 23, Issue 1
- 1-12 Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
by Rey Clément - 13-20 On the tangent model for the density of lines and a Monte Carlo method for computing hypersurface area
by El Khaldi Khaldoun & Saleeby Elias G. - 21-42 MCMC design-based non-parametric regression for rare event. Application to nested risk computations
by Fort Gersende & Gobet Emmanuel & Moulines Eric - 43-70 Limit theorems for weighted and regular Multilevel estimators
by Giorgi Daphné & Lemaire Vincent & Pagès Gilles
December 2016, Volume 22, Issue 4
- 265-275 Random walk on spheres method for solving drift-diffusion problems
by Sabelfeld Karl K. - 277-289 On the construction of boundary preserving numerical schemes
by Halidias Nikolaos - 291-305 Perfect and ε-perfect simulation methods for the one-dimensional Kac equation
by Corcoran Jem N. & Jennings Dale & VaughanMiller Paul - 307-322 Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
by Benabdallah Mohsine & Elkettani Youssfi & Hiderah Kamal - 323-335 Improved Markov Chain Monte Carlo method for cryptanalysis substitution-transposition cipher
by Fathi-Vajargah Behrouz & Kanafchian Mohadeseh - 337-347 The planar Couette flow with slip and jump boundary conditions in a microchannel
by Hssikou Mohamed & Baliti Jamal & Alaoui Mohammed - 349-357 A search for extensible low-WAFOM point sets
by Harase Shin
September 2016, Volume 22, Issue 3
- 161-196 A new proof of geometric convergence for the adaptive generalized weighted analog sampling (GWAS) method
by Kong Rong & Spanier Jerome - 197-228 Ninomiya–Victoir scheme: Strong convergence, antithetic version and application to multilevel estimators
by Al Gerbi Anis & Jourdain Benjamin & Clément Emmanuelle - 229-258 Numerical computation for backward doubly SDEs with random terminal time
by Matoussi Anis & Sabbagh Wissal - 259-264 Vector Monte Carlo stochastic matrix-based algorithms for large linear systems
by Sabelfeld Karl K.
June 2016, Volume 22, Issue 2
- 81-107 Information geometry, simulation and complexity in Gaussian random fields
by Levada Alexandre L. - 109-116 On the complexity of binary floating point pseudorandom generation
by Nekrutkin Vladimir - 117-131 Random walk on semi-cylinders for diffusion problems with mixed Dirichlet–Robin boundary conditions
by Sabelfeld Karl K. - 133-148 The acceptance-rejection method for low-discrepancy sequences
by Nguyen Nguyet & Ökten Giray - 149-159 Study and simulation of the sputtering process of material layers in plasma
by Bouazza Abdelkader & Settaouti Abderrahmane
March 2016, Volume 22, Issue 1
- 1-23 An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
by Dereudre David & Mazzonetto Sara & Roelly Sylvie - 25-54 Special quasirandom structures: A selection approach for stochastic homogenization
by Le Bris Claude & Legoll Frédéric & Minvielle William - 55-72 Splitting and survival probabilities in stochastic random walk methods and applications
by Sabelfeld Karl K. - 73-79 The Manhattan Project, the first electronic computer and the Monte Carlo method
by Benov Dobriyan M.
December 2015, Volume 21, Issue 4
- 255-273 The parallel replica method for computing equilibrium averages of Markov chains
by Aristoff David - 275-281 Mathematical verification of the Monte Carlo maximum cross-section technique
by Antyufeev Victor S. - 283-299 Infinite-dimensional Monte-Carlo integration
by Pantsulaia Gogi R. - 301-312 Widening and clustering techniques allowing the use of monotone CFTP algorithm
by Bounnite Mohamed Yasser & Nasroallah Abdelaziz - 313-323 Constructing positivity preserving numerical schemes for the two-factor CIR model
by Halidias Nikolaos - 325-328 Simulation of random variates with the Morgenstern distribution
by Makhotkin Oleg A.
September 2015, Volume 21, Issue 3
- 179-187 Random cubatures and quasi-Monte Carlo methods
by Antonov Anton A. & Ermakov Sergej M. - 189-203 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods
by Kabanikhin Sergey I. & Sabelfeld Karl K. & Novikov Nikita S. & Shishlenin Maxim A. - 205-231 Simulating from the Heston model: A gamma approximation scheme
by Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice - 233-244 Reliability and accuracy in the space Lp(T) for the calculation of integrals depending on a parameter by the Monte Carlo method
by Kozachenko Yuriy V. & Mlavets Yuriy Y. - 245-253 A new numerical scheme for the CIR process
by Halidias Nikolaos
June 2015, Volume 21, Issue 2
- 91-120 Optimal switching problems under partial information
by Li Kai & Nyström Kaj & Olofsson Marcus - 121-137 A class of probabilistic models for the Schrödinger equation
by Wagner Wolfgang - 139-152 Computing the exit-time for a finite-range symmetric jump process
by Burch Nathanial & Lehoucq R. B. - 153-161 Stochastic small perturbation based simulation technique for solving isotropic elastostatics equations
by Kolyukhin Dmitriy & Sabelfeld Karl K. - 163-174 Memory efficient lagged-Fibonacci random number generators for GPU supercomputing
by Andersen Timothy D. & Mascagni Michael - 175-178 A limit theorem for average dimensions
by Shukhman Boris V. & Sobol Ilya M.
March 2015, Volume 21, Issue 1
- 1-32 Functional quantization-based stratified sampling methods
by Corlay Sylvain & Pagès Gilles - 33-48 Stochastic simulation of fluctuation-induced reaction-diffusion kinetics governed by Smoluchowski equations
by Sabelfeld Karl K. & Levykin Alexander I. & Kireeva Anastasiya E. - 49-58 Bayesian beta regression models with joint mean and dispersion modeling
by Cepeda-Cuervo Edilberto & Garrido Liliana - 59-67 DSMC method for a two-dimensional flow with a gravity field in a square cavity
by Hssikou Mohamed & Baliti Jamal & Bouzineb Yassir & Alaoui Mohammed - 69-76 Consensus in science
by Stallinga Peter & Khmelinskii Igor - 77-90 A Matlab-based Monte Carlo algorithm for transport of gamma-rays in matter
by Sharifzadeh Mohsen & Khalafi Hosein & Gholipour Reza & Afarideh Hosein
December 2014, Volume 20, Issue 4
- 223-235 A numerical scheme based on semi-static hedging strategy
by Imamura Yuri & Ishigaki Yuta & Okumura Toshiki - 237-243 A martingale approach to estimating confidence band with censored data
by Lee Seung-Hwan & Lee Eun-Joo - 245-260 Hybrid Monte Carlo methods in credit risk management
by Del Chicca Lucia & Larcher Gerhard - 261-277 Uncertainty quantification of world population growth: A self-similar PDF model
by Heinz Stefan - 279-289 Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients
by Shalimova Irina A. & Sabelfeld Karl K.
September 2014, Volume 20, Issue 3
- 167-171 Quasi-Monte Carlo: A high-dimensional experiment
by Sobol Ilya M. & Shukhman Boris V. - 173-180 A spectral method for isotropic diffusion equation with random concentration fluctuations of incoming flux of particles through circular-shaped boundaries
by Sabelfeld Karl K. & Levykin Alexander I. - 181-194 Multilevel Monte Carlo for Asian options and limit theorems
by Ben Alaya Mohamed & Kebaier Ahmed - 195-216 Toward a coherent Monte Carlo simulation of CVA
by Abbas-Turki Lokman A. & Bouselmi Aych I. & Mikou Mohammed A. - 217-221 Field-induced Kosterlitz–Thouless transition in critical triangular-lattice antiferromagnets
by Hwang Chi-Ok & Kim Seung-Yeon
June 2014, Volume 20, Issue 2
- 77-100 Rare event simulation for diffusion processes via two-stage importance sampling
by Metzler Adam & Scott Alexandre - 101-120 High performance computing in quantitative finance: A review from the pseudo-random number generator perspective
by Mascagni Michael & Qiu Yue & Hin Lin-Yee - 121-136 An efficient Monte Carlo solution for problems with random matrices
by Grigoriu Mircea - 137-144 The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process
by Kozachenko Yuriy V. & Sergiienko Mykola P. - 145-165 A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization
by Kharroubi Idris & Langrené Nicolas & Pham Huyên
March 2014, Volume 20, Issue 1
- 1-41 Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
by Hoel Håkon & Tempone Raúl & von Schwerin Erik & Szepessy Anders - 43-51 A benchmark study of the Wigner Monte Carlo method
by Sellier Jean Michel & Dimov Ivan & Nedjalkov Mihail & Selberherr Siegfried - 53-59 A new Green's function Monte Carlo algorithm for the solution of the three-dimensional nonlinear Poisson–Boltzmann equation: Application to the modeling of plasma sheath layers
by Chatterjee Kausik & Roadcap John R. & Singh Surendra - 61-76 Competency of Monte Carlo and Black–Scholes in pricing Nifty index options: A vis-à-vis study
by Singh Vipul Kumar
December 2013, Volume 19, Issue 4
- 261-271 Generation of parallel modified Kronecker sequences
by Chi Hongmei - 273-279 A new numerical scheme for a class of reflected stochastic differential equations
by Yang Xuewei - 281-330 Worst case error for integro-differential equations by a lattice-Nyström method
by Rostamy Davoud & Jabbari Mohammad & Gadirian Mahshid - 331-354 Preliminary control variates to improve empirical regression methods
by Ben Zineb Tarik & Gobet Emmanuel
October 2013, Volume 19, Issue 3
- 171-182 Levy–Baxter theorems for one class of non-Gaussian random fields
by Kozachenko Yury & Kurchenko Oleksandr & Synyavska Olga - 183-199 On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations
by Zherelo Anatoly - 201-236 Monte Carlo approximations of the Neumann problem
by Maire Sylvain & Tanré Etienne - 237-259 Comparison of random number generators via Fourier transform
by Imai Junichi
July 2013, Volume 19, Issue 2
- 77-105 Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model
by Mascagni Michael & Hin Lin-Yee - 107-141 Double-barrier first-passage times of jump-diffusion processes
by Fernández Lexuri & Hieber Peter & Scherer Matthias - 143-169 An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem
by Field, Jr. Richard V. & Grigoriu Mircea & Dohrmann Clark R.
March 2013, Volume 19, Issue 1
- 1-9 A direct inversion method for non-uniform quasi-random point sequences
by Schretter Colas & Niederreiter Harald - 11-39 A parallel algorithm for solving BSDEs
by Labart Céline & Lelong Jérôme - 41-71 Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
by Étoré Pierre & Martinez Miguel - 73-75 Erratum: Fast simulation of Gaussian random fields [Monte Carlo Methods Appl. 17 (2011), 195–214]
by Lang Annika & Potthoff Jürgen
December 2012, Volume 18, Issue 4
- 275-285 A note on Newton's method for system of stochastic differential equations
by Habibi Reza - 287-326 Quantization based recursive importance sampling
by Frikha Noufel & Sagna Abass - 327-351 Dynamical system generated by algebraic method and low discrepancy sequences
by Mori Makoto & Mori Masaki - 353-377 Improving the Monte Carlo estimation of boundary crossing probabilities by control variables
by Pötzelberger Klaus
September 2012, Volume 18, Issue 3
- 201-216 Quasi Monte Carlo methods applied to equations in transient regime on the Theis equation
by Azevedo Juarez S. - 217-263 Stochastic boundary collocation and spectral methods for solving PDEs
by Sabelfeld Karl & Mozartova Nadezhda - 265-273 A Green's function Monte Carlo algorithm for the Helmholtz equation subject to Neumann and mixed boundary conditions: Validation with an 1D benchmark problem
by Chatterjee Kausik & Anantapadmanabhan Akshay
January 2012, Volume 18, Issue 2
- 109-118 On the population median estimation using robust extreme ranked set sampling
by Al-Omari Amer Ibrahim & Al-Nasser Amjad D. - 119-146 A mathematical formalization of the parallel replica dynamics
by Le Bris Claude & Lelièvre Tony & Luskin Mitchell & Perez Danny - 147-160 A restarted estimation of distribution algorithm for solving sudoku puzzles
by Maire Sylvain & Prissette Cyril - 161-179 Parallel random number generators in Monte Carlo derivative pricing: An application-based test
by Mascagni Michael & Hin Lin-Yee - 181-200 Probabilistic error bounds for the discrepancy of mixed sequences
by Aistleitner Christoph & Hofer Markus
January 2012, Volume 18, Issue 1
- 1-51 Stochastic approximation with averaging innovation applied to Finance
by Laruelle Sophie & Pagès Gilles - 53-77 The identification of price jumps
by Hanousek Jan & Kočenda Evžen & Novotný Jan - 79-108 Discrepancy of higher rank polynomial lattice point sets
by Greslehner Julia & Pillichshammer Friedrich
December 2011, Volume 17, Issue 4
- 301-315 A general method for debiasing a Monte Carlo estimator
by McLeish, Don - 317-369 A probabilistic algorithm approximating solutions of a singular PDE of porous media type
by Belaribi, Nadia & Cuvelier, François & Russo, Francesco - 371-398 Pricing of barrier options by marginal functional quantization
by Sagna, Abass - 399-410 Non-negative regularization for systems of linear algebraic equations
by Antyufeev, Victor S. - 411-417 Variance of the simplest Monte Carlo estimators in the sign-changing case
by Ermakov, Sergej M.
January 2011, Volume 17, Issue 3
- 195-214 Fast simulation of Gaussian random fields
by Lang Annika & Potthoff Jürgen - 215-231 Simulation of sub-Gaussian processes using wavelets
by Turchyn Yevgen V. - 233-278 Towards automatic global error control: Computable weak error expansion for the tau-leap method
by Karlsson Jesper & Tempone Raúl - 279-300 Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
by Kawai Reiichiro & Masuda Hiroki
January 2011, Volume 17, Issue 2
- 99-131 Calibration of financial models using quasi-Monte Carlo
by Eichler Andreas & Leobacher Gunther & Zellinger Heidrun - 133-154 Hybrid modeling of homogenous gas-phase combustion reactions
by Brumback Terry E. & Chen Chien-Pin - 155-168 Probability of large deviations of sums of random processes from Orlicz space
by Kozachenko Yu. V. & Mlavets Yu. Yu. - 169-193 Critical branching random walk in an IID environment
by Engländer János & Sieben Nándor
January 2011, Volume 17, Issue 1
- 1-10 A note on approximating distribution functions of cusum and cusumsq tests
by Habibi Reza - 11-45 Diffusion approximation of Lévy processes with a view towards finance
by Kiessling Jonas & Tempone Raúl - 47-75 Efficient price sensitivity estimation of financial derivatives by weak derivatives
by Kloeden Peter E. & Sanz-Chacón Carlos - 77-98 A framework for adaptive Monte Carlo procedures
by Lapeyre Bernard & Lelong Jérôme
January 2010, Volume 16, Issue 3-4
- 195-195 Editiorial
by Dubus Alain & Sabelfeld Karl - 197-209 Random packing of hyperspheres and Marsaglia's parking lot test
by Agapie Stefan C. & Whitlock Paula A. - 211-230 Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice
by El Haddad Rami & Lécot Christian & Venkiteswaran Gopalakrishnan - 231-250 Improved Halton sequences and discrepancy bounds
by Faure Henri & Lemieux Christiane - 251-263 Generalizing Sudoku to three dimensions
by Lambert Tiffany A. & Whitlock Paula A. - 265-282 Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
by De Luigi Christophe & Maire Sylvain - 283-306 Exact simulation of Bessel diffusions
by Makarov Roman N. & Glew Devin - 307-322 A good permutation for one-dimensional diaphony
by Pausinger Florian & Schmid Wolfgang Ch. - 323-342 Error bounds for computing the expectation by Markov chain Monte Carlo
by Rudolf Daniel - 343-359 Stochastic iterative projection methods for large linear systems
by Sabelfeld Karl & Loshchina Nadja - 361-377 Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
by Sak Halis - 379-398 A genetic algorithm approach to estimate lower bounds of the star discrepancy
by Shah Manan - 399-420 Random and deterministic fragmentation models
by Wagner Wolfgang - 421-438 MCMC imputation in autologistic model
by Zalewska Marta & Niemiro Wojciech & Samoliński Bolesław
January 2010, Volume 16, Issue 2
- 95-127 Approximate formulas for expectations of functionals of solutions to stochastic differential equations
by Egorov A. & Sabelfeld K. - 129-142 Simulation of binary random fields with Gaussian numerical models
by Prigarin Sergei M. & Martin Andreas & Winkler Gerhard - 143-165 A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes
by Grigoriu M. - 167-190 The Multilevel Monte Carlo method used on a Lévy driven SDE
by Marxen Henning - 191-193 Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options
by Jourdain Benjamin & Sbai Mohamed
January 2010, Volume 16, Issue 1
- 1-67 Adaptive weak approximation of reflected and stopped diffusions
by Bayer Christian & Szepessy Anders & Tempone Raúl - 69-93 A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation
by Jimenez Edwin & Lay Nathan & Hussaini M. Yousuff
January 2009, Volume 15, Issue 4
- 285-310 Multiple stochastic volatility extension of the Libor market model and its implementation
by Belomestny Denis & Mathew Stanley & Schoenmakers John - 311-332 Scrambled Soboĺ sequences via permutation
by Mascagni Michael & Yu Haohai - 333-351 Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
by Neuenkirch Andreas & Zähle Henryk - 353-380 A central limit theorem for the functional estimation of the spot volatility
by Ngo Hoang-Long & Ogawa Shigeyoshi
January 2009, Volume 15, Issue 3
- 173-210 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
by Bardou O. & Frikha N. & Pagès G. - 211-228 Comparison of descriptive statistics for multidimensional point sets
by Beachkofski Brian - 229-239 Berry–Esseen inequalities for discretely observed diffusions
by Bishwal Jaya P. N. - 241-255 Uniform generation of anonymous and neutral preference profiles for social choice rules
by Eğecioğlu Ömer - 257-284 Sparsified Randomization Algorithms for large systems of linear equations and a new version of the Random Walk on Boundary method
by Sabelfeld K. & Mozartova N.
January 2009, Volume 15, Issue 2
- 91-105 On the simulation of Markov chain steady-state distribution using CFTP algorithm
by Fakhouri H. & Nasroallah A. - 107-133 The exponential-normal form and its application to ultra high energy cascades investigation
by Kirillov A. A. & Kirillov I. A. - 135-144 On importance sampling in the problem of global optimization
by Missov Trifon I. & Ermakov Sergey M. - 145-167 Bayesian and non-Bayesian analysis of mixed-effects PK/PD models based on differential equations
by Wang Yi & Eskridge Kent M. & Nadarajah S. & Galecki Andrzey T. - 169-172 Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
by Ökten Giray & Gnewuch Michael
January 2009, Volume 15, Issue 1
- 1-10 Spectral test and spectral distance for multiplicative generators with moduli 2p
by Nekrutkin V. & Sabitov R. - 11-47 On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
by Nyström Kaj & Önskog Thomas - 49-62 Computer modeling of stationary particles transport in open cylindrical nanosystems by Monte Carlo method
by Pletnev Leonid & Gvozdev Maxim & Samartsau Kiryl - 63-90 Stochastic simulation of particle transport by a random Darcy flow through a porous cylinder
by Sabelfeld K. & Kurbanmuradov O. & Levykin A.
January 2008, Volume 14, Issue 4
- 281-302 Quasi-Monte Carlo methods for the Kou model
by Baldeaux Jan - 303-310 A uniformly distributed sequence on the ring of p-adic integers
by Fujita Takahiko & Kaneko Hiroshi & Matsumoto Shin - 311-329 Realizability of dynamic subgrid-scale stress models via stochastic analysis
by Heinz Stefan - 331-342 Real-time scheme for the volatility estimation in the presence of microstructure noise
by Ogawa Shigeyoshi - 343-377 PDF modeling and simulation of premixed turbulent combustion
by Stöllinger Michael & Heinz Stefan
January 2008, Volume 14, Issue 3
- 191-268 Deviational particle Monte Carlo for the Boltzmann equation
by Wagner Wolfgang - 269-279 Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
by Cao Y. & Chi H. & Milton C. & Zhao W.
January 2008, Volume 14, Issue 2
- 99-127 Application of kernel-based stochastic gradient algorithms to option pricing
by Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien - 129-149 Component-by-component construction of low-discrepancy point sets of small size
by Doerr Benjamin & Gnewuch Michael & Kritzer Peter & Pillichshammer Friedrich - 151-170 Generalized Becker–Döring equations modeling the time evolution of a process of preferential attachment with fitness
by Guiaş Flavius - 171-189 Sigma-algebra theorems
by Halton John H.
January 2008, Volume 14, Issue 1
- 1-27 Sequential Monte Carlo for linear systems – a practical summary
by Halton John H. - 29-51 Some new simulations schemes for the evaluation of Feynman–Kac representations
by Maire Sylvain & Tanré Etienne - 53-74 Spectra of Perron–Frobenius operator and new construction of two dimensional low discrepancy sequences
by Mori Makoto - 75-84 Computing percentage points of the largest among Student's t random variables
by Nadarajah Saralees - 85-98 A new nonrecursive pseudorandom number generator based on chaos mappings
by Yaguchi Hirotake & Kubo Izumi
January 2008, Volume 13, Issue 5-6
- 333-351 The weighted variance minimization for options pricing
by Gormin A. A. & Kashtanov Y. N. - 353-367 A quasilinear stochastic partial differential equation driven by fractional white noise
by Grecksch Wilfried & Roth Christian - 369-388 A quasi-stochastic simulation of the general dynamics equation for aerosols
by Lécot C. & Tarhini A. - 389-404 Skewed distributions generated by the Student's t kernel
by Nadarajah Saralees - 405-453 Expansion of random boundary excitations for elliptic PDEs
by Sabelfeld Karl - 455-465 Monte Carlo estimators for small sensitivity indices
by Sobol' I. M. & Myshetskaya E. E. - 467-483 A use of algorithms for numerical modeling of order statistics
by Voytishek Anton & Myasnikov Alexandr & Saneev Leonid
November 2007, Volume 13, Issue 4
- 253-273 Fast GPU-based reuse of paths in radiosity
by Castro Francesc & Patow Gustavo & Sbert Mateu & Halton John H. - 275-285 Approximations for expectations of functionals of solutions to stochastic differential equations
by Egorov A. D. - 287-298 On approximation of matrix valued functional integrals
by Malyutin V. - 299-331 Mixed initial-boundary value problem in particle modeling of microelectronic devices
by Nedjalkov M. & Vasileska D. & Dimov I. & Arsov G.
August 2007, Volume 13, Issue 3
- 173-195 Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations
by Arsham Hossein - 197-217 Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
by Kawai Reiichiro - 219-225 Integral Evaluation Using the Δ2-distribution. Simulation and Illustration
by Missov Trifon I. - 227-244 Admissible and Asymptotically Optimal Linear Congruential Generators
by Nekrutkin V. & Samakhova M. - 245-252 Pollard's rho attack on ECDLP and Threshold Schemes
by Vidya K. P.
July 2007, Volume 13, Issue 2
- 99-116 On a real-time scheme for the estimation of volatility
by Ogawa Shigeyoshi & Wakayama Koji - 117-133 Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation
by Roth Christian - 135-171 Exact retrospective Monte Carlo computation of arithmetic average Asian options
by Jourdain Benjamin & Sbai Mohamed
April 2007, Volume 13, Issue 1
- 1-20 An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution
by Huang M. L. & Pollanen M. & Yuen W. K. - 21-35 Comparison of Time–to–Event Data for Clinical Trials
by Nadarajah Saralees - 37-70 Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
by Pagès Gilles - 71-88 A Fast Stratified Sampling Simulation of Coagulation Processes
by Sabelfeld K. & Levykin A. & Privalova T. - 89-97 On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors
by Sobol' Ilya M. & Shukhman Boris V.
November 2006, Volume 12, Issue 5
- 347-362 Policy iteration for american options: overview
by Bender Christian & Kolodko Anastasia & Schoenmakers John