Liu, Jianxun; Li, Shengjie Unconstrained optimization reformulation for stochastic nonlinear complementarity problems. (English) Zbl 07332646 Appl. Anal. 100, No. 6, 1158-1179 (2021). MSC: 90C15 90C33 PDF BibTeX XML Cite \textit{J. Liu} and \textit{S. Li}, Appl. Anal. 100, No. 6, 1158--1179 (2021; Zbl 07332646) Full Text: DOI
Guth, Philipp A.; Kaarnioja, Vesa; Kuo, Frances Y.; Schillings, Claudia; Sloan, Ian H. A quasi-Monte Carlo method for optimal control under uncertainty. (English) Zbl 07332584 SIAM/ASA J. Uncertain. Quantif. 9, 354-383 (2021). MSC: 49J20 65D30 65D32 PDF BibTeX XML Cite \textit{P. A. Guth} et al., SIAM/ASA J. Uncertain. Quantif. 9, 354--383 (2021; Zbl 07332584) Full Text: DOI
Ben Abdellah, Amal; L’Ecuyer, Pierre; Owen, Art B.; Puchhammer, Florian Density estimation by randomized quasi-Monte Carlo. (English) Zbl 07332581 SIAM/ASA J. Uncertain. Quantif. 9, 280-301 (2021). MSC: 62G07 62G20 65C05 PDF BibTeX XML Cite \textit{A. Ben Abdellah} et al., SIAM/ASA J. Uncertain. Quantif. 9, 280--301 (2021; Zbl 07332581) Full Text: DOI
Karsh, P. K.; Dey, S. Stochastic natural frequencies of functionally graded plates based on power law index. (English) Zbl 07331999 Mukherjee, Shaibal (ed.) et al., Computational mathematics, nanoelectronics, and astrophysics. Selected papers based on the presentations at the international conference, CMNA 2018, Indore, India, November 1–3, 2018. Singapore: Springer (ISBN 978-981-15-9707-7/hbk; 978-981-15-9708-4/ebook). Springer Proceedings in Mathematics & Statistics 342, 13-23 (2021). MSC: 65 82 85 PDF BibTeX XML Cite \textit{P. K. Karsh} and \textit{S. Dey}, in: Computational mathematics, nanoelectronics, and astrophysics. Selected papers based on the presentations at the international conference, CMNA 2018, Indore, India, November 1--3, 2018. Singapore: Springer. 13--23 (2021; Zbl 07331999) Full Text: DOI
Kumar, R. R.; Pandey, K. M.; Dey, S. Radial basis function based probabilistic buckling behavior of sandwich plates. (English) Zbl 07331998 Mukherjee, Shaibal (ed.) et al., Computational mathematics, nanoelectronics, and astrophysics. Selected papers based on the presentations at the international conference, CMNA 2018, Indore, India, November 1–3, 2018. Singapore: Springer (ISBN 978-981-15-9707-7/hbk; 978-981-15-9708-4/ebook). Springer Proceedings in Mathematics & Statistics 342, 3-11 (2021). MSC: 65 82 85 PDF BibTeX XML Cite \textit{R. R. Kumar} et al., in: Computational mathematics, nanoelectronics, and astrophysics. Selected papers based on the presentations at the international conference, CMNA 2018, Indore, India, November 1--3, 2018. Singapore: Springer. 3--11 (2021; Zbl 07331998) Full Text: DOI
Griffin, J. E.; Łatuszyński, K. G.; Steel, M. F. J. In search of lost mixing time: adaptive Markov chain Monte Carlo schemes for Bayesian variable selection with very large \(p\). (English) Zbl 07331898 Biometrika 108, No. 1, 53-69 (2021). MSC: 62R07 62J05 65C05 PDF BibTeX XML Cite \textit{J. E. Griffin} et al., Biometrika 108, No. 1, 53--69 (2021; Zbl 07331898) Full Text: DOI
Schmon, S. M.; Deligiannidis, G.; Doucet, A.; Pitt, M. K. Large-sample asymptotics of the pseudo-marginal method. (English) Zbl 07331897 Biometrika 108, No. 1, 37-51 (2021). MSC: 62D05 62E20 60B10 65C05 PDF BibTeX XML Cite \textit{S. M. Schmon} et al., Biometrika 108, No. 1, 37--51 (2021; Zbl 07331897) Full Text: DOI
Cvetković, Nada; Conrad, Tim; Lie, Han Cheng A convergent discretization method for transition path theory for diffusion processes. (English) Zbl 07331782 Multiscale Model. Simul. 19, No. 1, 242-266 (2021). MSC: 34F05 60G99 65C05 65D99 PDF BibTeX XML Cite \textit{N. Cvetković} et al., Multiscale Model. Simul. 19, No. 1, 242--266 (2021; Zbl 07331782) Full Text: DOI
Hu, Guanyu; Wang, Haiying Most likely optimal subsampled Markov chain Monte Carlo. (English) Zbl 07331605 J. Syst. Sci. Complex. 34, No. 3, 1121-1134 (2021). MSC: 62R07 62D05 65C05 PDF BibTeX XML Cite \textit{G. Hu} and \textit{H. Wang}, J. Syst. Sci. Complex. 34, No. 3, 1121--1134 (2021; Zbl 07331605) Full Text: DOI
Cai, Zhenning; Dong, Xiaoyu; Kuang, Yang On the validity of complex Langevin method for path integral computations. (English) Zbl 07330832 SIAM J. Sci. Comput. 43, No. 1, A685-A719 (2021). MSC: 65C05 PDF BibTeX XML Cite \textit{Z. Cai} et al., SIAM J. Sci. Comput. 43, No. 1, A685--A719 (2021; Zbl 07330832) Full Text: DOI
Herron, Lukas; Dixit, Purushottam Thermal behavior of small magnets. (English) Zbl 07330666 J. Stat. Mech. Theory Exp. 2021, No. 3, Article ID 033207, 12 p. (2021). MSC: 82 PDF BibTeX XML Cite \textit{L. Herron} and \textit{P. Dixit}, J. Stat. Mech. Theory Exp. 2021, No. 3, Article ID 033207, 12 p. (2021; Zbl 07330666) Full Text: DOI
Boulougouris, Georgios C. On the geometrical representation of classical statistical mechanics. (English) Zbl 07330653 J. Stat. Mech. Theory Exp. 2021, No. 2, Article ID 023207, 34 p. (2021). MSC: 82 PDF BibTeX XML Cite \textit{G. C. Boulougouris}, J. Stat. Mech. Theory Exp. 2021, No. 2, Article ID 023207, 34 p. (2021; Zbl 07330653) Full Text: DOI
Chaudhry, Jehanzeb H.; Estep, Donald; Stevens, Zachary; Tavener, Simon J. Error estimation and uncertainty quantification for first time to a threshold value. (English) Zbl 07329851 BIT 61, No. 1, 275-307 (2021). MSC: 65L05 65L70 65C05 PDF BibTeX XML Cite \textit{J. H. Chaudhry} et al., BIT 61, No. 1, 275--307 (2021; Zbl 07329851) Full Text: DOI
Nemeth, Christopher; Fearnhead, Paul Stochastic gradient Markov chain Monte Carlo. (English) Zbl 07329752 J. Am. Stat. Assoc. 116, No. 533, 433-450 (2021). MSC: 62-02 62F15 62L20 65C05 PDF BibTeX XML Cite \textit{C. Nemeth} and \textit{P. Fearnhead}, J. Am. Stat. Assoc. 116, No. 533, 433--450 (2021; Zbl 07329752) Full Text: DOI
Kritzer, P.; Pillichshammer, F.; Wasilkowski, G. W. On quasi-Monte Carlo methods in weighted ANOVA spaces. (English) Zbl 07328925 Math. Comput. 90, No. 329, 1381-1406 (2021). MSC: 65D30 65C05 11K38 PDF BibTeX XML Cite \textit{P. Kritzer} et al., Math. Comput. 90, No. 329, 1381--1406 (2021; Zbl 07328925) Full Text: DOI
Wei, Lili; Zhang, Chunli; Su, Jen-Je; Yang, Lixiong Panel threshold spatial Durbin models with individual fixed effects. (English) Zbl 07328805 Econ. Lett. 201, Article ID 109778, 4 p. (2021). MSC: 62D20 62M30 62H15 PDF BibTeX XML Cite \textit{L. Wei} et al., Econ. Lett. 201, Article ID 109778, 4 p. (2021; Zbl 07328805) Full Text: DOI
Wang, Bao; Zou, Difan; Gu, Quanquan; Osher, Stanley J. Laplacian smoothing stochastic gradient Markov chain Monte Carlo. (English) Zbl 07328664 SIAM J. Sci. Comput. 43, No. 1, A26-A53 (2021). MSC: 65C05 65C60 60J22 PDF BibTeX XML Cite \textit{B. Wang} et al., SIAM J. Sci. Comput. 43, No. 1, A26--A53 (2021; Zbl 07328664) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun; He, Zhijian Efficient importance sampling in quasi-Monte Carlo methods for computational finance. (English) Zbl 07328662 SIAM J. Sci. Comput. 43, No. 1, B1-B29 (2021). MSC: 65C05 65D30 91G20 91G60 PDF BibTeX XML Cite \textit{C. Zhang} et al., SIAM J. Sci. Comput. 43, No. 1, B1--B29 (2021; Zbl 07328662) Full Text: DOI
Gripon, Vicent; Löwe, Matthias; Vermet, Franck Some remarks on replicated simulated annealing. (English) Zbl 07328610 J. Stat. Phys. 182, No. 3, Paper No. 51, 23 p. (2021). MSC: 60K35 60J10 82C32 65C05 PDF BibTeX XML Cite \textit{V. Gripon} et al., J. Stat. Phys. 182, No. 3, Paper No. 51, 23 p. (2021; Zbl 07328610) Full Text: DOI
Khokonov, M. Kh.; Khokonov, A. Kh. Cluster size distribution in a system of randomly spaced particles. (English) Zbl 07325967 J. Stat. Phys. 182, No. 1, Paper No. 3, 20 p. (2021). MSC: 62P35 62H30 82D15 60K40 65C05 PDF BibTeX XML Cite \textit{M. Kh. Khokonov} and \textit{A. Kh. Khokonov}, J. Stat. Phys. 182, No. 1, Paper No. 3, 20 p. (2021; Zbl 07325967) Full Text: DOI
Wei, Yanfeng; Zhang, Liguo; Guo, Xiaoying; Yang, Ting A theoretical and simulation analysis on the power of the frequency domain causality test. (English) Zbl 07325841 Stat. Probab. Lett. 170, Article ID 108970, 7 p. (2021). MSC: 62M10 62M07 62H20 PDF BibTeX XML Cite \textit{Y. Wei} et al., Stat. Probab. Lett. 170, Article ID 108970, 7 p. (2021; Zbl 07325841) Full Text: DOI
Wang, Zhendong; Xu, Xingzhong Testing high dimensional covariance matrices via posterior Bayes factor. (English) Zbl 07321507 J. Multivariate Anal. 181, Article ID 104674, 20 p. (2021). MSC: 62R07 62H10 62H12 62H15 60F05 65C05 PDF BibTeX XML Cite \textit{Z. Wang} and \textit{X. Xu}, J. Multivariate Anal. 181, Article ID 104674, 20 p. (2021; Zbl 07321507) Full Text: DOI
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph A numerical scheme for the quantile hedging problem. (English) Zbl 07319376 SIAM J. Financ. Math. 12, No. 1, 110-157 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 PDF BibTeX XML Cite \textit{C. Bénézet} et al., SIAM J. Financ. Math. 12, No. 1, 110--157 (2021; Zbl 07319376) Full Text: DOI
Krzyżanowski, Grzegorz; Magdziarz, Marcin A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. (English) Zbl 07319169 Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{G. Krzyżanowski} and \textit{M. Magdziarz}, Commun. Nonlinear Sci. Numer. Simul. 96, Article ID 105676, 15 p. (2021; Zbl 07319169) Full Text: DOI
Rueda, M.; Cobo, B.; Perri, P. F. New estimation techniques for ordinal sensitive variables. (English) Zbl 07318344 Math. Comput. Simul. 186, 62-70 (2021). MSC: 62D 62 PDF BibTeX XML Cite \textit{M. Rueda} et al., Math. Comput. Simul. 186, 62--70 (2021; Zbl 07318344) Full Text: DOI
Wiart, Jaspar; Wong, Elaine Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration. (English) Zbl 07318256 Math. Comput. Simul. 182, 277-295 (2021). MSC: 65 11K 65C PDF BibTeX XML Cite \textit{J. Wiart} and \textit{E. Wong}, Math. Comput. Simul. 182, 277--295 (2021; Zbl 07318256) Full Text: DOI
Belomestny, Denis; Iosipoi, Leonid Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity. (English) Zbl 07318224 Math. Comput. Simul. 181, 351-363 (2021). MSC: 62M 62D 60G 65C PDF BibTeX XML Cite \textit{D. Belomestny} and \textit{L. Iosipoi}, Math. Comput. Simul. 181, 351--363 (2021; Zbl 07318224) Full Text: DOI
Devroye, Luc Random variate generation for the truncated negative gamma distribution. (English) Zbl 07318209 Math. Comput. Simul. 181, 51-56 (2021). MSC: 62 65C PDF BibTeX XML Cite \textit{L. Devroye}, Math. Comput. Simul. 181, 51--56 (2021; Zbl 07318209) Full Text: DOI
Noorani, Idin; Mehrdoust, Farshid; Nasroallah, Abdelaziz A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model. (English) Zbl 07318206 Math. Comput. Simul. 181, 1-15 (2021). MSC: 91G 90C PDF BibTeX XML Cite \textit{I. Noorani} et al., Math. Comput. Simul. 181, 1--15 (2021; Zbl 07318206) Full Text: DOI
Mangoubi, Oren; Pillai, Natesh; Smith, Aaron Simple conditions for metastability of continuous Markov chains. (English) Zbl 07317336 J. Appl. Probab. 58, No. 1, 83-105 (2021). MSC: 60J05 65C40 PDF BibTeX XML Cite \textit{O. Mangoubi} et al., J. Appl. Probab. 58, No. 1, 83--105 (2021; Zbl 07317336) Full Text: DOI
Landau, David P.; Binder, Kurt A guide to Monte Carlo simulations in statistical physics. (to appear). 5th edition. (English) Zbl 07316288 Cambridge: Cambridge University Press (ISBN 978-1-108-49014-6/hbk). (2021). MSC: 82-01 82M31 82B28 81-08 65C05 65C40 PDF BibTeX XML
Wasilkowski, G. W. Quasi-Monte Carlo and \(\varepsilon\)-truncation dimension in ANOVA spaces. (English) Zbl 07316079 J. Complexity 62, Article ID 101500, 16 p. (2021). MSC: 65 41 PDF BibTeX XML Cite \textit{G. W. Wasilkowski}, J. Complexity 62, Article ID 101500, 16 p. (2021; Zbl 07316079) Full Text: DOI
Ren, Junru; Gui, Wenhao Inference and optimal censoring scheme for progressively Type-II censored competing risks model for generalized Rayleigh distribution. (English) Zbl 07315565 Comput. Stat. 36, No. 1, 479-513 (2021). MSC: 65C60 PDF BibTeX XML Cite \textit{J. Ren} and \textit{W. Gui}, Comput. Stat. 36, No. 1, 479--513 (2021; Zbl 07315565) Full Text: DOI
Cox, Sonja; Hutzenthaler, Martin; Jentzen, Arnulf; van Neerven, Jan; Welti, Timo Convergence in Hölder norms with applications to Monte Carlo methods in infinite dimensions. (English) Zbl 07315158 IMA J. Numer. Anal. 41, No. 1, 493-548 (2021). MSC: 65J05 65C05 PDF BibTeX XML Cite \textit{S. Cox} et al., IMA J. Numer. Anal. 41, No. 1, 493--548 (2021; Zbl 07315158) Full Text: DOI
Huré, Côme; Pham, Huyên; Bachouch, Achref; Langrené, Nicolas Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis. (English) Zbl 07314381 SIAM J. Numer. Anal. 59, No. 1, 525-557 (2021). MSC: 65C05 90C39 93E35 PDF BibTeX XML Cite \textit{C. Huré} et al., SIAM J. Numer. Anal. 59, No. 1, 525--557 (2021; Zbl 07314381) Full Text: DOI
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model. (English) Zbl 07314379 SIAM J. Numer. Anal. 59, No. 1, 477-502 (2021). MSC: 60H35 65C20 91G60 PDF BibTeX XML Cite \textit{M. Briani} et al., SIAM J. Numer. Anal. 59, No. 1, 477--502 (2021; Zbl 07314379) Full Text: DOI
Dereich, Steffen General multilevel adaptations for stochastic approximation algorithms. II: CLTs. (English) Zbl 07312680 Stochastic Processes Appl. 132, 226-260 (2021). MSC: 62L20 60J05 60F05 65C05 PDF BibTeX XML Cite \textit{S. Dereich}, Stochastic Processes Appl. 132, 226--260 (2021; Zbl 07312680) Full Text: DOI
Chen, Chao; Reiz, Severin; Yu, Chenhan D.; Bungartz, Hans-Joachim; Biros, George Fast approximation of the Gauss-Newton Hessian matrix for the multilayer perceptron. (English) Zbl 07310621 SIAM J. Matrix Anal. Appl. 42, No. 1, 165-184 (2021). MSC: 65F08 62-08 62D05 PDF BibTeX XML Cite \textit{C. Chen} et al., SIAM J. Matrix Anal. Appl. 42, No. 1, 165--184 (2021; Zbl 07310621) Full Text: DOI
Bai, Xuchao; Li, Xiangrong; Balakrishnan, Narayanaswamy; He, Mu Statistical inference for dependent stress-strength reliability of multi-state system using generalized survival signature. (English) Zbl 07309631 J. Comput. Appl. Math. 390, Article ID 113316, 22 p. (2021). MSC: 62G05 62N05 62H05 65C05 PDF BibTeX XML Cite \textit{X. Bai} et al., J. Comput. Appl. Math. 390, Article ID 113316, 22 p. (2021; Zbl 07309631) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Dobson, Matthew; Li, Yao; Zhai, Jiayu Using coupling methods to estimate sample quality of stochastic differential equations. (English) Zbl 07307680 SIAM/ASA J. Uncertain. Quantif. 9, 135-162 (2021). MSC: 65C30 60H35 65C05 PDF BibTeX XML Cite \textit{M. Dobson} et al., SIAM/ASA J. Uncertain. Quantif. 9, 135--162 (2021; Zbl 07307680) Full Text: DOI
Ganesh, M.; Kuo, Frances Y.; Sloan, Ian H. Quasi-Monte Carlo finite element analysis for wave propagation in heterogeneous random media. (English) Zbl 07307679 SIAM/ASA J. Uncertain. Quantif. 9, 106-134 (2021). MSC: 65C30 65C05 65N30 35J05 35R60 PDF BibTeX XML Cite \textit{M. Ganesh} et al., SIAM/ASA J. Uncertain. Quantif. 9, 106--134 (2021; Zbl 07307679) Full Text: DOI
Koley, Ujjwal; Ray, Deep; Sarkar, Tanmay Multilevel Monte Carlo finite difference methods for fractional conservation laws with random data. (English) Zbl 07307678 SIAM/ASA J. Uncertain. Quantif. 9, 65-105 (2021). MSC: 65M06 65C05 65M12 35L65 35R11 35R60 PDF BibTeX XML Cite \textit{U. Koley} et al., SIAM/ASA J. Uncertain. Quantif. 9, 65--105 (2021; Zbl 07307678) Full Text: DOI
Bardsley, Johnathan M.; Cui, Tiangang Optimization-based Markov chain Monte Carlo methods for nonlinear hierarchical statistical inverse problems. (English) Zbl 07307677 SIAM/ASA J. Uncertain. Quantif. 9, 29-64 (2021). MSC: 65F22 65C05 65C60 94A08 PDF BibTeX XML Cite \textit{J. M. Bardsley} and \textit{T. Cui}, SIAM/ASA J. Uncertain. Quantif. 9, 29--64 (2021; Zbl 07307677) Full Text: DOI
Etminan, Samaneh; Jalali, Vahidreza; Mahmoodabadi, Majid; siuki, Abbas Khashei; Bilondi, Mohsen Pourreza Assessing an efficient hybrid of Monte Carlo technique (GSA-GLUE) in uncertainty and sensitivity analysis of vanGenuchten soil moisture characteristics curve. (English) Zbl 1453.86039 Comput. Geosci. 25, No. 1, 503-514 (2021). MSC: 86A32 65C05 PDF BibTeX XML Cite \textit{S. Etminan} et al., Comput. Geosci. 25, No. 1, 503--514 (2021; Zbl 1453.86039) Full Text: DOI
Plunkett, Claire E.; Lawley, Sean D. Bimolecular binding rates for pairs of spherical molecules with small binding sites. (English) Zbl 07306710 Multiscale Model. Simul. 19, No. 1, 148-183 (2021). MSC: 35Q92 35B25 35C20 35J05 92C05 92C40 60J65 81V55 82D60 82M31 PDF BibTeX XML Cite \textit{C. E. Plunkett} and \textit{S. D. Lawley}, Multiscale Model. Simul. 19, No. 1, 148--183 (2021; Zbl 07306710) Full Text: DOI
Chen, An; Nguyen, Thai; Sørensen, Nils Indifference pricing under SAHARA utility. (English) Zbl 1454.91173 J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021). MSC: 91G05 91G15 91B16 90C39 91G60 PDF BibTeX XML Cite \textit{A. Chen} et al., J. Comput. Appl. Math. 388, Article ID 113288, 19 p. (2021; Zbl 1454.91173) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Wandelt, Michèle; Günther, Michael; Muniz, Michelle Geometric integration on Lie groups using the Cayley transform with focus on lattice QCD. (English) Zbl 07305178 J. Comput. Appl. Math. 387, Article ID 112495, 11 p. (2021). MSC: 81V05 81T25 44A15 65C05 35R03 65R10 PDF BibTeX XML Cite \textit{M. Wandelt} et al., J. Comput. Appl. Math. 387, Article ID 112495, 11 p. (2021; Zbl 07305178) Full Text: DOI
Zieliński, Przemysław; Vandecasteele, Hannes; Samaey, Giovanni Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise. (English) Zbl 07305173 J. Comput. Appl. Math. 387, Article ID 112490, 19 p. (2021). MSC: 65C30 60H10 34K50 65C05 PDF BibTeX XML Cite \textit{P. Zieliński} et al., J. Comput. Appl. Math. 387, Article ID 112490, 19 p. (2021; Zbl 07305173) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 07305168 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 07305168) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) Full Text: DOI
Calviño, Aida; Martín, Nirian; Pardo, Leandro Robustness of minimum density power divergence estimators and Wald-type test statistics in loglinear models with multinomial sampling. (English) Zbl 07305138 J. Comput. Appl. Math. 386, Article ID 113214, 20 p. (2021). MSC: 62F10 62F12 62F35 62F25 65C05 PDF BibTeX XML Cite \textit{A. Calviño} et al., J. Comput. Appl. Math. 386, Article ID 113214, 20 p. (2021; Zbl 07305138) Full Text: DOI
Alevizakos, Vasileios; Chatterjee, Kashinath; Koukouvinos, Christos The triple moving average control chart. (English) Zbl 07305065 J. Comput. Appl. Math. 384, Article ID 113171, 22 p. (2021). MSC: 62P30 65C05 93B05 PDF BibTeX XML Cite \textit{V. Alevizakos} et al., J. Comput. Appl. Math. 384, Article ID 113171, 22 p. (2021; Zbl 07305065) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) Full Text: DOI
Harase, Shin A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo. (English) Zbl 07305053 J. Comput. Appl. Math. 384, Article ID 113136, 12 p. (2021). MSC: 65C10 11K45 PDF BibTeX XML Cite \textit{S. Harase}, J. Comput. Appl. Math. 384, Article ID 113136, 12 p. (2021; Zbl 07305053) Full Text: DOI
Prado, Raquel; Ferreira, Marco A. R.; West, Mike Time series. Modeling, computation, and inference (to appear). 2nd edition. (English) Zbl 07303313 Chapman & Hall/CRC Texts in Statistical Science Series. Boca Raton, FL: CRC Press (ISBN 978-1-4987-4702-8/hbk). 472 p. (2021). MSC: 62-02 62M10 62F15 65C40 65C05 PDF BibTeX XML Cite \textit{R. Prado} et al., Time series. Modeling, computation, and inference (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07303313)
Cima, Anna; Gasull, Armengol; Mañosa, Víctor Phase portraits of random planar homogeneous vector fields. (English) Zbl 07302066 Qual. Theory Dyn. Syst. 20, No. 1, Paper No. 3, 27 p. (2021). Reviewer: Hao Wu (Nanjing) MSC: 37H10 34F05 65C05 PDF BibTeX XML Cite \textit{A. Cima} et al., Qual. Theory Dyn. Syst. 20, No. 1, Paper No. 3, 27 p. (2021; Zbl 07302066) Full Text: DOI
Prass, Taiane Schaedler; Pumi, Guilherme On the behavior of the DFA and DCCA in trend-stationary processes. (English) Zbl 07301924 J. Multivariate Anal. 182, Article ID 104703, 16 p. (2021). Reviewer: Glauber Márcio Silveira Pereira (Ceará) MSC: 62H20 62H12 62M10 62F12 60G10 65C05 91B84 62P20 PDF BibTeX XML Cite \textit{T. S. Prass} and \textit{G. Pumi}, J. Multivariate Anal. 182, Article ID 104703, 16 p. (2021; Zbl 07301924) Full Text: DOI
Chafaï, Djalil; Ferré, Grégoire; Stoltz, Gabriel Coulomb gases under constraint: some theoretical and numerical results. (English) Zbl 07293730 SIAM J. Math. Anal. 53, No. 1, 181-220 (2021). MSC: 60F10 82C22 65C05 82B05 60B20 PDF BibTeX XML Cite \textit{D. Chafaï} et al., SIAM J. Math. Anal. 53, No. 1, 181--220 (2021; Zbl 07293730) Full Text: DOI
Li, Rui; Lu, Wenqi; Zhu, Zhongyi; Lian, Heng Optimal prediction of quantile functional linear regression in reproducing kernel Hilbert spaces. (English) Zbl 1455.62232 J. Stat. Plann. Inference 211, 162-170 (2021). MSC: 62R10 62G08 62J05 62M20 62H25 65C05 PDF BibTeX XML Cite \textit{R. Li} et al., J. Stat. Plann. Inference 211, 162--170 (2021; Zbl 1455.62232) Full Text: DOI
Baumgarten, Niklas; Wieners, Christian The parallel finite element system M++ with integrated multilevel preconditioning and multilevel Monte Carlo methods. (English) Zbl 07288720 Comput. Math. Appl. 81, 391-406 (2021). MSC: 65 35 PDF BibTeX XML Cite \textit{N. Baumgarten} and \textit{C. Wieners}, Comput. Math. Appl. 81, 391--406 (2021; Zbl 07288720) Full Text: DOI
Campolieti, Giuseppe; Makarov, Roman N. Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. (English) Zbl 07286287 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-1-138-58787-8/hbk). 592 p. (2021). MSC: 91-01 91G20 91G10 91G60 60H30 PDF BibTeX XML Cite \textit{G. Campolieti} and \textit{R. N. Makarov}, Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07286287)
Lee, Cheng Few; Chen, Yibing; Lee, John Implied variance estimates for Black-Scholes and CEV OPM: review and comparison. (English) Zbl 1454.91297 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703-3736 (2021). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703--3736 (2021; Zbl 1454.91297) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Lee, Han-Hsing; Chen, Ren-Raw; Lee, Cheng Few Empirical studies of structural credit risk models and the application in default prediction: review and new evidence. (English) Zbl 1451.91214 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845-1901 (2021). MSC: 91G40 PDF BibTeX XML Cite \textit{H.-H. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1845--1901 (2021; Zbl 1451.91214) Full Text: DOI
Han, Chuan-Hsiang GPU acceleration for computational finance. (English) Zbl 1454.91360 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519-1532 (2021). MSC: 91G60 91G15 91-08 PDF BibTeX XML Cite \textit{C.-H. Han}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519--1532 (2021; Zbl 1454.91360) Full Text: DOI
Barkhagen, M.; Chau, N. H.; Moulines, É.; Rásonyi, M.; Sabanis, S.; Zhang, Y. On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case. (English) Zbl 07282840 Bernoulli 27, No. 1, 1-33 (2021). MSC: 60 62 PDF BibTeX XML Cite \textit{M. Barkhagen} et al., Bernoulli 27, No. 1, 1--33 (2021; Zbl 07282840) Full Text: DOI Euclid
He, Zhijian; Wang, Xiaoqun Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall. (English) Zbl 1452.65006 Math. Comput. 90, No. 327, 303-319 (2021). MSC: 65C05 65D30 91G70 PDF BibTeX XML Cite \textit{Z. He} and \textit{X. Wang}, Math. Comput. 90, No. 327, 303--319 (2021; Zbl 1452.65006) Full Text: DOI
Kadane, Joseph B. Principles of uncertainty. 2nd updated edition. (English) Zbl 1441.62004 Chapman & Hall/CRC Texts in Statistical Science Series. Boca Raton, FL: CRC Press (ISBN 978-1-138-05273-4/hbk). xxv, 498 p. (2021). MSC: 62-01 62C10 62F15 62C12 60K20 60J22 PDF BibTeX XML Cite \textit{J. B. Kadane}, Principles of uncertainty. 2nd updated edition. Boca Raton, FL: CRC Press (2021; Zbl 1441.62004)
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDF BibTeX XML Cite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Dick, Josef; Goda, Takashi Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm. (English) Zbl 07241392 J. Comput. Appl. Math. 382, Article ID 113062, 15 p. (2021). MSC: 65C05 65D30 65D32 11K38 PDF BibTeX XML Cite \textit{J. Dick} and \textit{T. Goda}, J. Comput. Appl. Math. 382, Article ID 113062, 15 p. (2021; Zbl 07241392) Full Text: DOI
Rhode, Wolfgang Statistical methods of data analysis (to appear). (Statistische Methoden der Datenanalyse.) (German) Zbl 07031591 De Gruyter Studium. Berlin: De Gruyter (ISBN 978-3-11-040946-8/pbk; 978-3-11-041002-0/ebook). xx, 280 p. (2021). MSC: 62-01 62-07 62P35 65C05 PDF BibTeX XML Cite \textit{W. Rhode}, Statistische Methoden der Datenanalyse. Berlin: De Gruyter (2021; Zbl 07031591)
Wnuk, Marcin; Gnewuch, Michael Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices. (English) Zbl 07331142 Oper. Res. Lett. 48, No. 4, 410-414 (2020). MSC: 90 PDF BibTeX XML Cite \textit{M. Wnuk} and \textit{M. Gnewuch}, Oper. Res. Lett. 48, No. 4, 410--414 (2020; Zbl 07331142) Full Text: DOI
Ren, Jie; Zhang, Qimin; Cao, Feilong; Ding, Chunmei; Wang, Li Modeling a stochastic age-structured capital system with Poisson jumps using neural networks. (English) Zbl 07330262 Inf. Sci. 516, 254-265 (2020). MSC: 91G60 65C99 PDF BibTeX XML Cite \textit{J. Ren} et al., Inf. Sci. 516, 254--265 (2020; Zbl 07330262) Full Text: DOI
Kazantsev, Ivan G.; Matej, Samuel; Lewitt, Robert M.; Olsen, Ulrik L.; Poulsen, Henning F.; Yarovenko, Ivan P.; Prokhorov, Igor V. Modeling and simulation of Compton scatter image formation in positron emission tomography. (English) Zbl 07330159 J. Inverse Ill-Posed Probl. 28, No. 6, 923-932 (2020). MSC: 44A12 44A35 45H05 65M38 65N21 PDF BibTeX XML Cite \textit{I. G. Kazantsev} et al., J. Inverse Ill-Posed Probl. 28, No. 6, 923--932 (2020; Zbl 07330159) Full Text: DOI
Lotova, Galiya Z.; Mikhailov, Guennady A. Numerically statistical investigation of the partly super-exponential growth rate in the COVID-19 pandemic (throughout the world). (English) Zbl 07330155 J. Inverse Ill-Posed Probl. 28, No. 6, 877-879 (2020). MSC: 65C05 PDF BibTeX XML Cite \textit{G. Z. Lotova} and \textit{G. A. Mikhailov}, J. Inverse Ill-Posed Probl. 28, No. 6, 877--879 (2020; Zbl 07330155) Full Text: DOI
Goda, Takashi Richardson extrapolation allows truncation of higher-order digital nets and sequences. (English) Zbl 07330051 IMA J. Numer. Anal. 40, No. 3, 2052-2075 (2020). MSC: 65 PDF BibTeX XML Cite \textit{T. Goda}, IMA J. Numer. Anal. 40, No. 3, 2052--2075 (2020; Zbl 07330051) Full Text: DOI
Hinrichs, Aicke (ed.); Prochno, Joscha (ed.); Thäle, Christoph (ed.); Werner, Elisabeth (ed.) New perspectives and computational challenges in high dimensions. Abstracts from the workshop held February 2–8, 2020. (English) Zbl 07329557 Oberwolfach Rep. 17, No. 1, 377-416 (2020). MSC: 00B05 00B25 52-06 65-06 68-06 52A22 60D05 68Q25 52A23 60G55 65C05 65D30 PDF BibTeX XML Cite \textit{A. Hinrichs} (ed.) et al., Oberwolfach Rep. 17, No. 1, 377--416 (2020; Zbl 07329557) Full Text: DOI
Syromyatnikov, Alexey G.; Guseynova, Mujgen R.; Saletsky, Alexander M.; Klavsyuk, Andrey L. Non-equilibrium island size distribution in one dimension. (English) Zbl 07329369 J. Stat. Mech. Theory Exp. 2020, No. 9, Article ID 093202, 13 p. (2020). MSC: 82 PDF BibTeX XML Cite \textit{A. G. Syromyatnikov} et al., J. Stat. Mech. Theory Exp. 2020, No. 9, Article ID 093202, 13 p. (2020; Zbl 07329369) Full Text: DOI
Gupta, Lalit; Albash, Tameem; Hen, Itay Permutation matrix representation quantum Monte Carlo. (English) Zbl 07329324 J. Stat. Mech. Theory Exp. 2020, No. 7, Article ID 073105, 24 p. (2020). MSC: 82 PDF BibTeX XML Cite \textit{L. Gupta} et al., J. Stat. Mech. Theory Exp. 2020, No. 7, Article ID 073105, 24 p. (2020; Zbl 07329324) Full Text: DOI
Das, Ashok; Kumar, Jitendra; Dosta, Maksym; Heinrich, Stefan On the approximate solution and modeling of the kernel of nonlinear breakage population balance equation. (English) Zbl 07328657 SIAM J. Sci. Comput. 42, No. 6, B1570-B1598 (2020). MSC: 65 45K05 65C05 PDF BibTeX XML Cite \textit{A. Das} et al., SIAM J. Sci. Comput. 42, No. 6, B1570--B1598 (2020; Zbl 07328657) Full Text: DOI
Wagaskar, K. V.; Late, Ravikiran; Banpurkar, A. G.; Limaye, A. V.; Shelke, Pradip B. Simulation studies of random sequential adsorption (RSA) of mixture of two-component circular discs. (English) Zbl 07327998 J. Stat. Phys. 181, No. 6, 2191-2205 (2020). MSC: 81V55 82B35 65C05 PDF BibTeX XML Cite \textit{K. V. Wagaskar} et al., J. Stat. Phys. 181, No. 6, 2191--2205 (2020; Zbl 07327998) Full Text: DOI
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. (English) Zbl 07326794 Math. Finance 30, No. 4, 1591-1616 (2020). MSC: 91G PDF BibTeX XML Cite \textit{D. Belomestny} et al., Math. Finance 30, No. 4, 1591--1616 (2020; Zbl 07326794) Full Text: DOI
Dassios, Angelos; Lim, Jia Wei; Qu, Yan Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. (English) Zbl 07326791 Math. Finance 30, No. 4, 1497-1526 (2020). MSC: 91G PDF BibTeX XML Cite \textit{A. Dassios} et al., Math. Finance 30, No. 4, 1497--1526 (2020; Zbl 07326791) Full Text: DOI
Corradini, Olindo; Muratori, Maurizio A Monte Carlo approach to the worldline formalism in curved space. (English) Zbl 07326152 J. High Energy Phys. 2020, No. 11, Paper No. 169, 23 p. (2020). MSC: 81S40 81T12 83C10 62P35 65C05 PDF BibTeX XML Cite \textit{O. Corradini} and \textit{M. Muratori}, J. High Energy Phys. 2020, No. 11, Paper No. 169, 23 p. (2020; Zbl 07326152) Full Text: DOI arXiv
Majka, Mateusz B.; Mijatović, Aleksandar; Szpruch, Łukasz Nonasymptotic bounds for sampling algorithms without log-concavity. (English) Zbl 07325618 Ann. Appl. Probab. 30, No. 4, 1534-1581 (2020). MSC: 65C05 65C30 65C40 60J22 62H12 60H10 PDF BibTeX XML Cite \textit{M. B. Majka} et al., Ann. Appl. Probab. 30, No. 4, 1534--1581 (2020; Zbl 07325618) Full Text: DOI Euclid
Bou-Rabee, Nawaf; Eberle, Andreas; Zimmer, Raphael Coupling and convergence for Hamiltonian Monte Carlo. (English) Zbl 07325608 Ann. Appl. Probab. 30, No. 3, 1209-1250 (2020). MSC: 60J05 65P10 65C05 PDF BibTeX XML Cite \textit{N. Bou-Rabee} et al., Ann. Appl. Probab. 30, No. 3, 1209--1250 (2020; Zbl 07325608) Full Text: DOI Euclid
Tang, Weisen; Liu, Hai-Lin; Chen, Lei; Tan, Kay Chen; Cheung, Yiu-ming Fast hypervolume approximation scheme based on a segmentation strategy. (English) Zbl 07324653 Inf. Sci. 509, 320-342 (2020). MSC: 90C29 90C59 PDF BibTeX XML Cite \textit{W. Tang} et al., Inf. Sci. 509, 320--342 (2020; Zbl 07324653) Full Text: DOI
Mazzarisi, Onofrio; Corberi, Federico; Cugliandolo, Leticia F.; Picco, Marco Metastability in the Potts model: exact results in the large \(q\) limit. (English) Zbl 07323280 J. Stat. Mech. Theory Exp. 2020, No. 6, Article ID 063214, 34 p. (2020). MSC: 82 PDF BibTeX XML Cite \textit{O. Mazzarisi} et al., J. Stat. Mech. Theory Exp. 2020, No. 6, Article ID 063214, 34 p. (2020; Zbl 07323280) Full Text: DOI
Arjmand, Masoud; Najafi, Amir Abbas; Ebrahimzadeh, Majid Evolutionary algorithms for multi-objective stochastic resource availability cost problem. (English) Zbl 07319766 Opsearch 57, No. 3, 935-985 (2020). MSC: 90B PDF BibTeX XML Cite \textit{M. Arjmand} et al., Opsearch 57, No. 3, 935--985 (2020; Zbl 07319766) Full Text: DOI
Mingoti, Sueli Aparecida; Diniz, Graziele Alexandrina On Wald’s sequential test for vector mean under multivariate normal distribution and correlated data. (English) Zbl 07318781 Sequential Anal. 39, No. 3, 431-442 (2020). MSC: 62L10 62M10 62F03 62H15 62H20 62P30 65C05 PDF BibTeX XML Cite \textit{S. A. Mingoti} and \textit{G. A. Diniz}, Sequential Anal. 39, No. 3, 431--442 (2020; Zbl 07318781) Full Text: DOI
Ferreiro-Ferreiro, Ana María; García-Rodríguez, José A.; Souto, Luis; Vázquez, Carlos A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs. (English) Zbl 07318111 Math. Comput. Simul. 177, 467-486 (2020). MSC: 62P 91G 42A 65T 60E PDF BibTeX XML Cite \textit{A. M. Ferreiro-Ferreiro} et al., Math. Comput. Simul. 177, 467--486 (2020; Zbl 07318111) Full Text: DOI
Poëtte, Gaël Spectral convergence of the generalized polynomial chaos reduced model obtained from the uncertain linear Boltzmann equation. (English) Zbl 07318086 Math. Comput. Simul. 177, 24-45 (2020). MSC: 33C PDF BibTeX XML Cite \textit{G. Poëtte}, Math. Comput. Simul. 177, 24--45 (2020; Zbl 07318086) Full Text: DOI
Dimov, I.; Savov, M. Probabilistic analysis of the single particle Wigner Monte-Carlo method. (English) Zbl 07318050 Math. Comput. Simul. 173, 32-50 (2020). MSC: 33 PDF BibTeX XML Cite \textit{I. Dimov} and \textit{M. Savov}, Math. Comput. Simul. 173, 32--50 (2020; Zbl 07318050) Full Text: DOI
Calatayud, J.; Cortés, J.-C.; Dorini, F. A.; Jornet, M. Extending the study on the linear advection equation subject to stochastic velocity field and initial condition. (English) Zbl 07318035 Math. Comput. Simul. 172, 159-174 (2020). MSC: 34F 34B 60H 34A PDF BibTeX XML Cite \textit{J. Calatayud} et al., Math. Comput. Simul. 172, 159--174 (2020; Zbl 07318035) Full Text: DOI
Ong, Seng-Huat; Lee, Wen-Jau; Low, Yeh-Ching A general method of computing mixed Poisson probabilities by Monte Carlo sampling. (English) Zbl 07317980 Math. Comput. Simul. 170, 98-106 (2020). MSC: 62N 62F PDF BibTeX XML Cite \textit{S.-H. Ong} et al., Math. Comput. Simul. 170, 98--106 (2020; Zbl 07317980) Full Text: DOI
Kim, See-Woo; Kim, Jeong-Hoon Pricing generalized variance swaps under the Heston model with stochastic interest rates. (English) Zbl 07317949 Math. Comput. Simul. 168, 1-27 (2020). MSC: 91G 60J PDF BibTeX XML Cite \textit{S.-W. Kim} and \textit{J.-H. Kim}, Math. Comput. Simul. 168, 1--27 (2020; Zbl 07317949) Full Text: DOI