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Monte Carlo Methods and Applications, Volume 25
Volume 25, Number 1, March 2019
- Gilles Pagès
, Clément Rey:
Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications. 1-36 - Antoon Pelsser
A Monte Carlo method for backward stochastic differential equations with Hermite martingales. 37-60 - Shin Harase
Comparison of Sobol' sequences in financial applications. 61-74 - Sercan Gür, Klaus Pötzelberger:
Sensitivity of boundary crossing probabilities of the Brownian motion. 75-83 - Karl K. Sabelfeld:
A global random walk on spheres algorithm for transient heat equation and some extensions. 85-96
Volume 25, Number 2, June 2019
- Riu Naito, Toshihiro Yamada:
A third-order weak approximation of multidimensional Itô stochastic differential equations. 97-120 - Zakarya Zarezadeh
Particle diffusion Monte Carlo (PDMC). 121-130 - Karl K. Sabelfeld
Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems. 131-146 - Hayette Braham
Analysis of a non-Markovian queueing model: Bayesian statistics and MCMC methods. 147-154 - Sergej M. Ermakov, Anna A. Pogosian:
On solving stochastic differential equations. 155-161 - Nima Rabiei, Elias G. Saleeby:
On the sample-mean method for computing hyper-volumes. 163-176 - Meriem Boubalou, Megdouda Ourbih-Tari, Abdelouhab Aloui, Arezki Zioui:
Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator "getRDS" and the proposed "getLHS" using variance reduction. 177-186
Volume 25, Number 3, September 2019
- Manal Bayousef
A computational investigation of the optimal Halton sequence in QMC applications. 187-207 - Nikhil Kumar Rajput
Gillespie algorithm and diffusion approximation based on Monte Carlo simulation for innovation diffusion: A comparative study. 209-215 - Ievgen Turchyn
Wavelet-based simulation of random processes from certain classes with given accuracy and reliability. 217-225 - Lihao Zhang, Zeyang Ye, Yuefan Deng:
Parallel MCMC methods for global optimization. 227-237 - Yusuke Okano, Toshihiro Yamada:
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion. 239-252 - Ilya M. Sobol, Boris V. Shukhman:
Quasi-Monte Carlo method for solving Fredholm equations. 253-257 - Taku Achiha, Hiroshi Sugita, Kenta Tonohiro, Yuto Yamamoto:
Generation of k-wise independent random variables with small randomness. 259-270 - Irina A. Shalimova, Karl K. Sabelfeld
A random walk on small spheres method for solving transientanisotropic diffusion problems. 271-282
Volume 25, Number 4, December 2019
- Christian Weiß, Zoran Nikolic:
An aspect of optimal regression design for LSMC. 283-290 - Hanbyeol Jang, Jian Wang, Junseok Kim
Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge. 291-305 - Hoa Pham, Huong T. T. Pham:
A Bayesian approach for multi-stage models with linear time-dependent hazard rate. 307-316 - Abdelaziz Nasroallah, Mohamed Yasser Bounnite:
A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability. 317-327 - Preston Hamlin
Geometry entrapment in Walk-on-Subdomains. 329-340 - Riu Naito, Toshihiro Yamada:
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. 341-361
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