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June 2020, Volume 26, Issue 2
- 83-91 An index of teaching performance based on students’ feedback
by Marozzi Marco & Chowdhury Shovan - 93-111 A neural network assisted Metropolis adjusted Langevin algorithm
by Müller Christian & Diedam Holger & Mrziglod Thomas & Schuppert Andreas - 113-129 Unbiased estimation of the solution to Zakai’s equation
by Ruzayqat Hamza M. & Jasra Ajay - 131-161 Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations
by Bourgey Florian & De Marco Stefano & Gobet Emmanuel & Zhou Alexandre - 163-169 Binary decompositions of probability densities and random-bit simulation
by Nekrutkin Vladimir
March 2020, Volume 26, Issue 1
- 1-16 Why simple quadrature is just as good as Monte Carlo
by Vanslette Kevin & Al Alsheikh Abdullatif & Youcef-Toumi Kamal - 17-32 Describing the Pearson 𝑅 distribution of aggregate data
by Torres David J. - 33-47 Approximation of Euler–Maruyama for one-dimensional stochastic differential equations involving the maximum process
by Hiderah Kamal - 49-68 A Bayesian inference for the penalized spline joint models of longitudinal and time-to-event data: A prior sensitivity analysis
by Thi Thu Pham Huong & Pham Hoa & Nur Darfiana - 69-82 A Bayesian procedure for bandwidth selection in circular kernel density estimation
by Bedouhene Kahina & Zougab Nabil
December 2019, Volume 25, Issue 4
- 283-290 An aspect of optimal regression design for LSMC
by Weiß Christian & Nikolić Zoran - 291-305 Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge
by Jang Hanbyeol & Wang Jian & Kim Junseok - 307-316 A Bayesian approach for multi-stage models with linear time-dependent hazard rate
by Pham Hoa & Pham Huong T. T. - 317-327 A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability
by Nasroallah Abdelaziz & Bounnite Mohamed Yasser - 329-340 Geometry entrapment in Walk-on-Subdomains
by Hamlin Preston & Thrasher W. John & Keyrouz Walid & Mascagni Michael - 341-361 A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
by Naito Riu & Yamada Toshihiro
September 2019, Volume 25, Issue 3
- 187-207 A computational investigation of the optimal Halton sequence in QMC applications
by Bayousef Manal & Mascagni Michael - 209-215 Gillespie algorithm and diffusion approximation based on Monte Carlo simulation for innovation diffusion: A comparative study
by Rajput Nikhil Kumar - 217-225 Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
by Turchyn Ievgen - 227-237 Parallel MCMC methods for global optimization
by Zhang Lihao & Ye Zeyang & Deng Yuefan - 239-252 A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
by Okano Yusuke & Yamada Toshihiro - 253-257 Quasi-Monte Carlo method for solving Fredholm equations
by Sobol I. M. & Shukhman B. V. - 259-270 Generation of k-wise independent random variables with small randomness
by Achiha Taku & Sugita Hiroshi & Tonohiro Kenta & Yamamoto Yuto - 271-282 A random walk on small spheres method for solving transient anisotropic diffusion problems
by Shalimova Irina & Sabelfeld Karl K.
June 2019, Volume 25, Issue 2
- 97-120 A third-order weak approximation of multidimensional Itô stochastic differential equations
by Naito Riu & Yamada Toshihiro - 121-130 Particle diffusion Monte Carlo (PDMC)
by Zarezadeh Zakarya & Costantini Giovanni - 131-146 Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems
by Sabelfeld Karl K. - 147-154 Analysis of a non-Markovian queueing model: Bayesian statistics and MCMC methods
by Braham Hayette & Berdjoudj Louiza & Boualem Mohamed & Rahmania Nadji - 155-161 On solving stochastic differential equations
by Ermakov Sergej M. & Pogosian Anna A. - 163-176 On the sample-mean method for computing hyper-volumes
by Rabiei Nima & Saleeby Elias G. - 177-186 Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator “getRDS” and the proposed “getLHS” using variance reduction
by Boubalou Meriem & Ourbih-Tari Megdouda & Aloui Abdelouhab & Zioui Arezki
March 2019, Volume 25, Issue 1
- 1-36 Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications
by Pagès Gilles & Rey Clément - 37-60 A Monte Carlo method for backward stochastic differential equations with Hermite martingales
by Pelsser Antoon & Gnameho Kossi - 61-74 Comparison of Sobol’ sequences in financial applications
by Harase Shin - 75-83 Sensitivity of boundary crossing probabilities of the Brownian motion
by Gür Sercan & Pötzelberger Klaus - 85-96 A global random walk on spheres algorithm for transient heat equation and some extensions
by Sabelfeld Karl K.
December 2018, Volume 24, Issue 4
- 225-247 Nesting Monte Carlo for high-dimensional non-linear PDEs
by Warin Xavier - 249-262 Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
by Benabdallah Mohsine & Hiderah Kamal - 263-270 Global sensitivity analysis for a stochastic flow problem
by Kolyukhin Dmitriy - 271-287 Sampling from the 𝒢I 0 distribution
by Chan Debora & Rey Andrea & Gambini Juliana & Frery Alejandro C. - 289-308 A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
by Yamada Toshihiro & Yamamoto Kenta - 309-321 On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
by Lay Harold A. & Colgin Zane & Reshniak Viktor & Khaliq Abdul Q. M. - 323-327 Random walk algorithms for elliptic equations and boundary singularities
by Simonov Nikolai A.
September 2018, Volume 24, Issue 3
- 153-163 Monte Carlo simulation of nonlinear gravity driven Poiseuille–Couette flow in a dilute gas
by Baliti Jamal & Hssikou Mohamed & Alaoui Mohammed - 165-178 The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation
by Tamiti Kenza & Ourbih-Tari Megdouda & Aloui Abdelouhab & Idjis Khelidja - 179-192 Simulation of generalized fractional Brownian motion in C([0,T])
by Kozachenko Yuriy & Pashko Anatolii & Vasylyk Olga - 193-202 A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation
by Sabelfeld Karl K. & Eremeev Georgy - 203-214 Markov-Chain Monte-Carlo methods and non-identifiabilities
by Müller Christian & Weysser Fabian & Mrziglod Thomas & Schuppert Andreas - 215-224 Understanding the contribution of energy and angular distribution in the morphology of thin films using Monte Carlo simulation
by Bouazza Abdelkader & Settaouti Abderrahmane
June 2018, Volume 24, Issue 2
- 79-92 Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging
by Sabelfeld Karl K. & Kireeva Anastasiya - 93-99 A quasi-Monte Carlo implementation of the ziggurat method
by Nguyen Nguyet & Xu Linlin & Ökten Giray - 101-115 On the efficient simulation of the left-tail of the sum of correlated log-normal variates
by Alouini Mohamed-Slim & Kammoun Abla & Tempone Raul & Ben Rached Nadhir - 117-127 Bayesian estimation of ordinary differential equation models when the likelihood has multiple local modes
by Liu Baisen & Wang Liangliang & Cao Jiguo - 129-137 On the modeling of linear system input stochastic processes with given accuracy and reliability
by Rozora Iryna & Lyzhechko Mariia - 139-145 Remarks on randomization of quasi-random numbers
by Ermakov Sergej M. & Leora Svetlana N. - 147-151 On average dimensions of particle transport estimators
by Sobol Ilya M. & Shukhman Boris V.
March 2018, Volume 24, Issue 1
- 1-11 Fast generation of isotropic Gaussian random fields on the sphere
by Creasey Peter E. & Lang Annika - 13-27 Weather derivatives pricing using regime switching model
by Evarest Emmanuel & Berntsson Fredrik & Singull Martin & Yang Xiangfeng - 29-41 Pricing barrier options in the Heston model using the Heath–Platen estimator
by Coskun Sema & Korn Ralf - 43-54 Random walk on spheres method for solving anisotropic drift-diffusion problems
by Shalimova Irina & Sabelfeld Karl K. - 55-70 Monte-Carlo algorithms for a forward Feynman–Kac-type representation for semilinear nonconservative partial differential equations
by Le Cavil Anthony & Oudjane Nadia & Russo Francesco - 71-77 A new hybrid cuckoo search and firefly optimization
by Elkhechafi Mariam & Hachimi Hanaa & Elkettani Youssfi
December 2017, Volume 23, Issue 4
- 213-220 Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem
by Simonov Nikolai A. - 221-240 A random cloud algorithm for the Schrödinger equation
by Kraft Markus & Wagner Wolfgang - 241-263 Numerical approximation of BSDEs using local polynomial drivers and branching processes
by Bouchard Bruno & Tan Xiaolu & Zou Yiyi & Warin Xavier - 265-275 Quasi-Monte Carlo simulation of differential equations
by Chouraqui Aïcha & Lécot Christian & Djebbar Bachir - 277-286 Simulation of Gaussian stationary Ornstein–Uhlenbeck process with given reliability and accuracy in space C([0,T])C([0,T])
by Kozachenko Yuriy & Petranova Marina - 287-306 HMM with emission process resulting from a special combination of independent Markovian emissions
by Nasroallah Abdelaziz & Elkimakh Karima
September 2017, Volume 23, Issue 3
- 149-157 A method for the calculation of characteristics for the solution to stochastic differential equations
by Egorov Alexander & Malyutin Victor - 159-164 The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models
by Iglesias Emma M. & Phillips Garry D. A. - 165-188 Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies
by Grigoriu Mircea - 189-212 Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
by Sabelfeld Karl K.
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