Kamatani, Kengo; Song, Xiaolin Non-reversible guided Metropolis kernel. (English) Zbl 1520.65004 J. Appl. Probab. 60, No. 3, 955-981 (2023). MSC: 65C05 65C40 60J05 PDFBibTeX XMLCite \textit{K. Kamatani} and \textit{X. Song}, J. Appl. Probab. 60, No. 3, 955--981 (2023; Zbl 1520.65004) Full Text: DOI arXiv
Vasdekis, Giorgos; Roberts, Gareth O. A note on the polynomial ergodicity of the one-dimensional zig-zag process. (English) Zbl 07589164 J. Appl. Probab. 59, No. 3, 895-903 (2022). MSC: 60J25 65C05 60F05 PDFBibTeX XMLCite \textit{G. Vasdekis} and \textit{G. O. Roberts}, J. Appl. Probab. 59, No. 3, 895--903 (2022; Zbl 07589164) Full Text: DOI arXiv
Roberts, Gareth O.; Rosenthal, Jeffrey S.; Tawn, Nicholas G. Skew Brownian motion and complexity of the ALPS algorithm. (English) Zbl 1497.60101 J. Appl. Probab. 59, No. 3, 777-796 (2022). MSC: 60J25 60J05 60J22 60J65 PDFBibTeX XMLCite \textit{G. O. Roberts} et al., J. Appl. Probab. 59, No. 3, 777--796 (2022; Zbl 1497.60101) Full Text: DOI arXiv
Nguyen, Quang Huy; Robert, Christian Y. Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields. (English) Zbl 1492.65014 J. Appl. Probab. 59, No. 2, 366-383 (2022). MSC: 65C05 60G15 60G60 PDFBibTeX XMLCite \textit{Q. H. Nguyen} and \textit{C. Y. Robert}, J. Appl. Probab. 59, No. 2, 366--383 (2022; Zbl 1492.65014) Full Text: DOI
Aristoff, David An ergodic theorem for the weighted ensemble method. (English) Zbl 1492.65030 J. Appl. Probab. 59, No. 1, 152-166 (2022). MSC: 65C35 65C05 65C40 PDFBibTeX XMLCite \textit{D. Aristoff}, J. Appl. Probab. 59, No. 1, 152--166 (2022; Zbl 1492.65030) Full Text: DOI arXiv
Lee, Young; Laub, Patrick J.; Taimre, Thomas; Zhao, Hongbiao; Zhuang, Jiancang Exact simulation of extrinsic stress-release processes. (English) Zbl 1492.60093 J. Appl. Probab. 59, No. 1, 105-117 (2022). MSC: 60G20 60G55 65C05 PDFBibTeX XMLCite \textit{Y. Lee} et al., J. Appl. Probab. 59, No. 1, 105--117 (2022; Zbl 1492.60093) Full Text: DOI arXiv
Miclo, Laurent; Villeneuve, Stéphane On the forward algorithm for stopping problems on continuous-time Markov chains. (English) Zbl 1478.60211 J. Appl. Probab. 58, No. 4, 1043-1063 (2021). Reviewer: Weiping Li (Guanghan) MSC: 60J27 60J45 60J28 90C40 91G60 60G40 PDFBibTeX XMLCite \textit{L. Miclo} and \textit{S. Villeneuve}, J. Appl. Probab. 58, No. 4, 1043--1063 (2021; Zbl 1478.60211) Full Text: DOI Link
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao Exact simulation of Ornstein-Uhlenbeck tempered stable processes. (English) Zbl 07364090 J. Appl. Probab. 58, No. 2, 347-371 (2021). MSC: 65C05 62E15 60G51 60E07 68U20 60H35 PDFBibTeX XMLCite \textit{Y. Qu} et al., J. Appl. Probab. 58, No. 2, 347--371 (2021; Zbl 07364090) Full Text: DOI
Mangoubi, Oren; Pillai, Natesh; Smith, Aaron Simple conditions for metastability of continuous Markov chains. (English) Zbl 1464.60071 J. Appl. Probab. 58, No. 1, 83-105 (2021). MSC: 60J05 65C40 PDFBibTeX XMLCite \textit{O. Mangoubi} et al., J. Appl. Probab. 58, No. 1, 83--105 (2021; Zbl 1464.60071) Full Text: DOI arXiv
Ahn, Dohyun; Kim, Kyoung-Kuk; Kim, Younghoon Small-time smile for the multifactor volatility Heston model. (English) Zbl 1454.91311 J. Appl. Probab. 57, No. 4, 1070-1087 (2020). Reviewer: George Stoica (Saint John) MSC: 91G30 41A60 60F10 91G60 PDFBibTeX XMLCite \textit{D. Ahn} et al., J. Appl. Probab. 57, No. 4, 1070--1087 (2020; Zbl 1454.91311) Full Text: DOI
Portier, François; Segers, Johan Monte Carlo integration with a growing number of control variates. (English) Zbl 1427.60048 J. Appl. Probab. 56, No. 4, 1168-1186 (2019). MSC: 60F05 62J05 65C05 PDFBibTeX XMLCite \textit{F. Portier} and \textit{J. Segers}, J. Appl. Probab. 56, No. 4, 1168--1186 (2019; Zbl 1427.60048) Full Text: DOI arXiv
Leão, Dorival; Ohashi, Alberto; Russo, Francesco Discrete-type approximations for non-Markovian optimal stopping problems. I. (English) Zbl 1427.60069 J. Appl. Probab. 56, No. 4, 981-1005 (2019). MSC: 60G40 60H30 60G22 91G60 91G20 PDFBibTeX XMLCite \textit{D. Leão} et al., J. Appl. Probab. 56, No. 4, 981--1005 (2019; Zbl 1427.60069) Full Text: DOI arXiv
Geiss, Christel; Luoto, Antti; Salminen, Paavo On first exit times and their means for Brownian bridges. (English) Zbl 1436.60075 J. Appl. Probab. 56, No. 3, 701-722 (2019). MSC: 60J65 60J60 91G60 PDFBibTeX XMLCite \textit{C. Geiss} et al., J. Appl. Probab. 56, No. 3, 701--722 (2019; Zbl 1436.60075) Full Text: DOI arXiv
Dai, Hongsheng; Pollock, Murray; Roberts, Gareth Monte Carlo fusion. (English) Zbl 1416.65017 J. Appl. Probab. 56, No. 1, 174-191 (2019). MSC: 65C05 60J60 65C30 PDFBibTeX XMLCite \textit{H. Dai} et al., J. Appl. Probab. 56, No. 1, 174--191 (2019; Zbl 1416.65017) Full Text: DOI arXiv Link
Blanchet, Jose; Dong, Jing; Liu, Zhipeng Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary. (English) Zbl 1415.60043 J. Appl. Probab. 56, No. 1, 116-138 (2019). MSC: 60G50 65C05 60K25 PDFBibTeX XMLCite \textit{J. Blanchet} et al., J. Appl. Probab. 56, No. 1, 116--138 (2019; Zbl 1415.60043) Full Text: DOI arXiv
Dassios, Angelos; Qu, Yan; Lim, Jia Wei Exact simulation of generalised Vervaat perpetuities. (English) Zbl 1418.60040 J. Appl. Probab. 56, No. 1, 57-75 (2019). MSC: 60G51 60K15 65C05 PDFBibTeX XMLCite \textit{A. Dassios} et al., J. Appl. Probab. 56, No. 1, 57--75 (2019; Zbl 1418.60040) Full Text: DOI Link
Rudolf, Daniel; Ullrich, Mario Comparison of hit-and-run, slice sampler and random walk Metropolis. (English) Zbl 1405.60114 J. Appl. Probab. 55, No. 4, 1186-1202 (2018). MSC: 60J22 65C05 60J05 PDFBibTeX XMLCite \textit{D. Rudolf} and \textit{M. Ullrich}, J. Appl. Probab. 55, No. 4, 1186--1202 (2018; Zbl 1405.60114) Full Text: DOI arXiv
Dassios, Angelos; Lim, Jia Wei Recursive formula for the double-barrier Parisian stopping time. (English) Zbl 1398.91579 J. Appl. Probab. 55, No. 1, 282-301 (2018). MSC: 91G20 91G60 65C50 60J65 60G40 PDFBibTeX XMLCite \textit{A. Dassios} and \textit{J. W. Lim}, J. Appl. Probab. 55, No. 1, 282--301 (2018; Zbl 1398.91579) Full Text: DOI Link
Li, Xiaoou; Xu, Gongjun Uniformly efficient simulation for extremes of Gaussian random fields. (English) Zbl 1401.65011 J. Appl. Probab. 55, No. 1, 157-178 (2018). MSC: 65C05 60G15 60G60 PDFBibTeX XMLCite \textit{X. Li} and \textit{G. Xu}, J. Appl. Probab. 55, No. 1, 157--178 (2018; Zbl 1401.65011) Full Text: DOI arXiv
Blanchet, Jose; Murthy, Karthyek Exact simulation of multidimensional reflected Brownian motion. (English) Zbl 1401.65006 J. Appl. Probab. 55, No. 1, 137-156 (2018). MSC: 65C05 60J60 60J65 PDFBibTeX XMLCite \textit{J. Blanchet} and \textit{K. Murthy}, J. Appl. Probab. 55, No. 1, 137--156 (2018; Zbl 1401.65006) Full Text: DOI arXiv
Durmus, Alain; Le Corff, Sylvain; Moulines, Eric; Roberts, Gareth O. Optimal scaling of the random walk Metropolis algorithm under \(L^p\) mean differentiability. (English) Zbl 1401.65007 J. Appl. Probab. 54, No. 4, 1233-1260 (2017). MSC: 65C05 60F05 PDFBibTeX XMLCite \textit{A. Durmus} et al., J. Appl. Probab. 54, No. 4, 1233--1260 (2017; Zbl 1401.65007) Full Text: DOI arXiv
Kamatani, K. Ergodicity of Markov chain Monte Carlo with reversible proposal. (English) Zbl 1401.65009 J. Appl. Probab. 54, No. 2, 638-654 (2017). MSC: 65C05 65C40 60J05 PDFBibTeX XMLCite \textit{K. Kamatani}, J. Appl. Probab. 54, No. 2, 638--654 (2017; Zbl 1401.65009) Full Text: DOI arXiv
Nyquist, Pierre Moderate deviation principles for importance sampling estimators of risk measures. (English) Zbl 1400.60041 J. Appl. Probab. 54, No. 2, 490-506 (2017). MSC: 60F10 65C05 62F12 62P05 PDFBibTeX XMLCite \textit{P. Nyquist}, J. Appl. Probab. 54, No. 2, 490--506 (2017; Zbl 1400.60041) Full Text: DOI
Kim, Je Guk On the convergence of the quasi-regression method: polynomial chaos and regularity. (English) Zbl 1416.91403 J. Appl. Probab. 54, No. 2, 424-443 (2017). MSC: 91G60 65C05 91G20 60G40 PDFBibTeX XMLCite \textit{J. G. Kim}, J. Appl. Probab. 54, No. 2, 424--443 (2017; Zbl 1416.91403) Full Text: DOI
Jiang, Guangxin; Fu, Michael C. Quantile sensitivity estimation for dependent sequences. (English) Zbl 1351.62109 J. Appl. Probab. 53, No. 3, 715-732 (2016). MSC: 62H12 65C05 PDFBibTeX XMLCite \textit{G. Jiang} and \textit{M. C. Fu}, J. Appl. Probab. 53, No. 3, 715--732 (2016; Zbl 1351.62109) Full Text: DOI
Botev, Z. I.; Ridder, A.; Rojas-Nandayapa, L. Semiparametric cross entropy for rare-event simulation. (English) Zbl 1355.65022 J. Appl. Probab. 53, No. 3, 633-649 (2016). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 65C60 65C05 65C40 62H20 62G32 62D05 PDFBibTeX XMLCite \textit{Z. I. Botev} et al., J. Appl. Probab. 53, No. 3, 633--649 (2016; Zbl 1355.65022) Full Text: DOI arXiv
Kim, Je Guk Optimal importance sampling for the Laplace transform of exponential Brownian functionals. (English) Zbl 1415.91317 J. Appl. Probab. 53, No. 2, 531-542 (2016). MSC: 91G60 60F10 91G20 65C05 62D05 44A10 PDFBibTeX XMLCite \textit{J. G. Kim}, J. Appl. Probab. 53, No. 2, 531--542 (2016; Zbl 1415.91317) Full Text: DOI Euclid
Roberts, Gareth O.; Rosenthal, Jeffrey S. Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits. (English) Zbl 1345.60082 J. Appl. Probab. 53, No. 2, 410-420 (2016). MSC: 60J22 60J10 60J05 60J60 60F05 60G50 60J25 65C05 65C40 62F10 62F15 PDFBibTeX XMLCite \textit{G. O. Roberts} and \textit{J. S. Rosenthal}, J. Appl. Probab. 53, No. 2, 410--420 (2016; Zbl 1345.60082) Full Text: DOI arXiv Euclid Link
Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R. An Euler-Poisson scheme for Lévy driven stochastic differential equations. (English) Zbl 1337.60161 J. Appl. Probab. 53, No. 1, 262-278 (2016). MSC: 60H35 60H10 60G51 65C30 65C05 PDFBibTeX XMLCite \textit{A. Ferreiro-Castilla} et al., J. Appl. Probab. 53, No. 1, 262--278 (2016; Zbl 1337.60161) Full Text: DOI Euclid
Athreya, Krishna B.; Roy, Vivekananda Estimation of integrals with respect to infinite measures using regenerative sequences. (English) Zbl 1334.65003 J. Appl. Probab. 52, No. 4, 1133-1145 (2015). MSC: 65C05 65C50 65C40 60J22 60G50 62F25 PDFBibTeX XMLCite \textit{K. B. Athreya} and \textit{V. Roy}, J. Appl. Probab. 52, No. 4, 1133--1145 (2015; Zbl 1334.65003) Full Text: DOI Euclid
Mijatović, Aleksandar; Pistorius, Martijn R.; Stolte, Johannes Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. (English) Zbl 1334.65008 J. Appl. Probab. 52, No. 4, 1076-1096 (2015). MSC: 65C05 91G60 60G51 60J60 60J65 65C50 PDFBibTeX XMLCite \textit{A. Mijatović} et al., J. Appl. Probab. 52, No. 4, 1076--1096 (2015; Zbl 1334.65008) Full Text: DOI arXiv Euclid
Atchadé, Yves; Wang, Yizao On the convergence rates of some adaptive Markov chain Monte Carlo algorithms. (English) Zbl 1339.65006 J. Appl. Probab. 52, No. 3, 811-825 (2015). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 65C40 60J05 60J10 60J20 65C50 PDFBibTeX XMLCite \textit{Y. Atchadé} and \textit{Y. Wang}, J. Appl. Probab. 52, No. 3, 811--825 (2015; Zbl 1339.65006) Full Text: DOI arXiv Euclid
Spiliopoulos, Konstantinos Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions. (English) Zbl 1334.60166 J. Appl. Probab. 52, No. 3, 797-810 (2015). MSC: 60J60 60H10 60F10 60F05 60G60 62D05 65C05 PDFBibTeX XMLCite \textit{K. Spiliopoulos}, J. Appl. Probab. 52, No. 3, 797--810 (2015; Zbl 1334.60166) Full Text: DOI arXiv Euclid
Huber, Mark; Marić, Nevena Multivariate distributions with fixed marginals and correlations. (English) Zbl 1331.65014 J. Appl. Probab. 52, No. 2, 602-608 (2015). Reviewer: T. C. Mohan (Chennai) MSC: 65C05 65C60 62E17 62H20 PDFBibTeX XMLCite \textit{M. Huber} and \textit{N. Marić}, J. Appl. Probab. 52, No. 2, 602--608 (2015; Zbl 1331.65014) Full Text: DOI arXiv Euclid
Debrabant, Kristian; Rössler, Andreas On the acceleration of the multi-level Monte Carlo method. (English) Zbl 1331.65013 J. Appl. Probab. 52, No. 2, 307-322 (2015). Reviewer: T. C. Mohan (Chennai) MSC: 65C05 60H35 65C30 60J65 PDFBibTeX XMLCite \textit{K. Debrabant} and \textit{A. Rössler}, J. Appl. Probab. 52, No. 2, 307--322 (2015; Zbl 1331.65013) Full Text: DOI arXiv Euclid
Ferreiro-Castilla, Albert; van Schaik, Kees Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals. (English) Zbl 1319.65006 J. Appl. Probab. 52, No. 1, 129-148 (2015). Reviewer: Abass Sagna (Evry) MSC: 65C05 60G51 65C50 91G60 91B24 91B30 PDFBibTeX XMLCite \textit{A. Ferreiro-Castilla} and \textit{K. van Schaik}, J. Appl. Probab. 52, No. 1, 129--148 (2015; Zbl 1319.65006) Full Text: DOI Euclid
Glynn, Peter W.; Rhee, Chang-Han Exact estimation for Markov chain equilibrium expectations. (English) Zbl 1312.65003 J. Appl. Probab. 51A, Spec. Vol., 377-389 (2014). MSC: 65C05 65C40 60J22 PDFBibTeX XMLCite \textit{P. W. Glynn} and \textit{C.-H. Rhee}, J. Appl. Probab. 51A, 377--389 (2014; Zbl 1312.65003) Full Text: DOI arXiv Euclid
Łatuszyński, Krzysztof; Rosenthal, Jeffrey S. The containment condition and AdapFail algorithms. (English) Zbl 1329.60263 J. Appl. Probab. 51, No. 4, 1189-1195 (2014). MSC: 60J22 60J05 65C05 65C40 PDFBibTeX XMLCite \textit{K. Łatuszyński} and \textit{J. S. Rosenthal}, J. Appl. Probab. 51, No. 4, 1189--1195 (2014; Zbl 1329.60263) Full Text: arXiv Euclid
Gudmundsson, Thorbjörn; Hult, Henrik Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk. (English) Zbl 1291.65014 J. Appl. Probab. 51, No. 2, 359-376 (2014). MSC: 65C05 60J22 60G50 PDFBibTeX XMLCite \textit{T. Gudmundsson} and \textit{H. Hult}, J. Appl. Probab. 51, No. 2, 359--376 (2014; Zbl 1291.65014) Full Text: DOI arXiv
Dai, Hongsheng Exact simulation for diffusion bridges: an adaptive approach. (English) Zbl 1291.65012 J. Appl. Probab. 51, No. 2, 346-358 (2014). MSC: 65C05 65C50 60J60 PDFBibTeX XMLCite \textit{H. Dai}, J. Appl. Probab. 51, No. 2, 346--358 (2014; Zbl 1291.65012) Full Text: DOI
Huber, Mark; Schott, Sarah Random construction of interpolating sets for high-dimensional integration. (English) Zbl 1291.60205 J. Appl. Probab. 51, No. 1, 92-105 (2014). MSC: 60K35 11K45 65D30 PDFBibTeX XMLCite \textit{M. Huber} and \textit{S. Schott}, J. Appl. Probab. 51, No. 1, 92--105 (2014; Zbl 1291.60205) Full Text: DOI arXiv Euclid
Fink, Holger Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk. (English) Zbl 1294.60070 J. Appl. Probab. 50, No. 4, 983-1005 (2013). MSC: 60G51 60G10 60G22 60H10 34F05 60H20 91G40 60G15 91G30 91G60 PDFBibTeX XMLCite \textit{H. Fink}, J. Appl. Probab. 50, No. 4, 983--1005 (2013; Zbl 1294.60070) Full Text: DOI Euclid
Agarwal, Ankush; Dey, Santanu; Juneja, Sandeep Efficient simulation of large deviation events for sums of random vectors using saddle-point representations. (English) Zbl 1282.65025 J. Appl. Probab. 50, No. 3, 703-720 (2013). Reviewer: Cyril Fischer (Praha) MSC: 65C50 65C05 60E10 60F10 PDFBibTeX XMLCite \textit{A. Agarwal} et al., J. Appl. Probab. 50, No. 3, 703--720 (2013; Zbl 1282.65025) Full Text: DOI arXiv Euclid
Mano, Shuhei Duality between the two-locus Wright-Fisher diffusion model and the ancestral process with recombination. (English) Zbl 1302.92075 J. Appl. Probab. 50, No. 1, 256-271 (2013). MSC: 92D10 92D15 65C05 60J70 PDFBibTeX XMLCite \textit{S. Mano}, J. Appl. Probab. 50, No. 1, 256--271 (2013; Zbl 1302.92075) Full Text: DOI arXiv Euclid
Fink, Holger; Klüppelberg, Claudia; Zähle, Martina Conditional distributions of processes related to fractional Brownian motion. (English) Zbl 1281.60037 J. Appl. Probab. 50, No. 1, 166-183 (2013). Reviewer: Elisa Alòs (Barcelona) MSC: 60G22 60G15 60H10 60H20 91G30 60G10 91G60 PDFBibTeX XMLCite \textit{H. Fink} et al., J. Appl. Probab. 50, No. 1, 166--183 (2013; Zbl 1281.60037) Full Text: DOI Euclid
Ghamami, Samim; Ross, Sheldon M. Improving the Asmussen-Kroese-type simulation estimators. (English) Zbl 1255.91426 J. Appl. Probab. 49, No. 4, 1188-1193 (2012). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{S. Ghamami} and \textit{S. M. Ross}, J. Appl. Probab. 49, No. 4, 1188--1193 (2012; Zbl 1255.91426) Full Text: DOI Euclid
Chen, Ao; Feng, Liming; Song, Renming On the monitoring error of the supremum of a normal jump diffusion process. (English) Zbl 1250.60036 J. Appl. Probab. 48, No. 4, 1021-1034 (2011). Reviewer: Jan Kallsen (Kiel) MSC: 60J75 60G51 91G60 65C20 PDFBibTeX XMLCite \textit{A. Chen} et al., J. Appl. Probab. 48, No. 4, 1021--1034 (2011; Zbl 1250.60036) Full Text: DOI
Ichiba, Tomoyuki; Kardaras, Constantinos Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation. (English) Zbl 1230.65003 J. Appl. Probab. 48, No. 3, 699-712 (2011). Reviewer: Rózsa Horvàth-Bokor (Budapest) MSC: 65C05 60G44 60J60 60J65 PDFBibTeX XMLCite \textit{T. Ichiba} and \textit{C. Kardaras}, J. Appl. Probab. 48, No. 3, 699--712 (2011; Zbl 1230.65003) Full Text: DOI arXiv
Chan, Joshua C. C.; Glynn, Peter W.; Kroese, Dirk P. A comparison of cross-entropy and variance minimization strategies. (English) Zbl 1241.65021 J. Appl. Probab. 48A, Spec. Vol., 183-194 (2011). MSC: 65C60 65C05 62J10 62D05 PDFBibTeX XMLCite \textit{J. C. C. Chan} et al., J. Appl. Probab. 48A, 183--194 (2011; Zbl 1241.65021) Full Text: DOI
Blanchet, Jose H.; Rojas-Nandayapa, Leonardo Efficient simulation of tail probabilities of sums of dependent random variables. (English) Zbl 1245.60048 J. Appl. Probab. 48A, Spec. Vol., 147-164 (2011). Reviewer: Grigori N. Milstein (Yekaterinburg) MSC: 60G50 65C05 60G70 PDFBibTeX XMLCite \textit{J. H. Blanchet} and \textit{L. Rojas-Nandayapa}, J. Appl. Probab. 48A, 147--164 (2011; Zbl 1245.60048) Full Text: DOI
Blanchet, Jose; Li, Chenxin Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes. (English) Zbl 1219.65012 J. Appl. Probab. 48, No. 2, 467-489 (2011). MSC: 65C50 65C05 60G15 60F10 60J65 PDFBibTeX XMLCite \textit{J. Blanchet} and \textit{C. Li}, J. Appl. Probab. 48, No. 2, 467--489 (2011; Zbl 1219.65012) Full Text: DOI
Mendivil, F.; Shonkwiler, R.; Spruill, M. C. Geometric convergence of genetic algorithms under tempered random restart. (English) Zbl 1196.60132 J. Appl. Probab. 46, No. 4, 960-974 (2009). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 60J20 65C05 PDFBibTeX XMLCite \textit{F. Mendivil} et al., J. Appl. Probab. 46, No. 4, 960--974 (2009; Zbl 1196.60132) Full Text: DOI
Delmas, Jean-Françcois; Jourdain, Benjamin Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates. (English) Zbl 1187.60056 J. Appl. Probab. 46, No. 4, 938-959 (2009). MSC: 60J22 60F05 60J10 65C40 82B80 PDFBibTeX XMLCite \textit{J.-F. Delmas} and \textit{B. Jourdain}, J. Appl. Probab. 46, No. 4, 938--959 (2009; Zbl 1187.60056) Full Text: DOI
Elie, Romuald Double kernel estimation of sensitivities. (English) Zbl 1283.62076 J. Appl. Probab. 46, No. 3, 791-811 (2009). MSC: 62G07 65C05 62G08 PDFBibTeX XMLCite \textit{R. Elie}, J. Appl. Probab. 46, No. 3, 791--811 (2009; Zbl 1283.62076) Full Text: DOI arXiv
Asmussen, Søren Importance sampling for failure probabilities in computing and data transmission. (English) Zbl 1173.65005 J. Appl. Probab. 46, No. 3, 768-790 (2009). MSC: 65C60 65C05 68M15 60F05 68M20 62P30 62F25 PDFBibTeX XMLCite \textit{S. Asmussen}, J. Appl. Probab. 46, No. 3, 768--790 (2009; Zbl 1173.65005) Full Text: DOI
Niemiro, Wojciech; Pokarowski, Piotr Fixed precision MCMC estimation by median of products of averages. (English) Zbl 1170.60327 J. Appl. Probab. 46, No. 2, 309-329 (2009). MSC: 60J22 60J10 65C05 68W20 82B80 PDFBibTeX XMLCite \textit{W. Niemiro} and \textit{P. Pokarowski}, J. Appl. Probab. 46, No. 2, 309--329 (2009; Zbl 1170.60327) Full Text: DOI
Roberts, Gareth O.; Rosenthal, Jeffrey S. Coupling and ergodicity of adaptive Markov chain Monte Carlo algorithms. (English) Zbl 1137.62015 J. Appl. Probab. 44, No. 2, 458-475 (2007). Reviewer: Gheorghe Oprişan (Bucureşti) MSC: 62F15 65C40 65C05 60J10 PDFBibTeX XMLCite \textit{G. O. Roberts} and \textit{J. S. Rosenthal}, J. Appl. Probab. 44, No. 2, 458--475 (2007; Zbl 1137.62015) Full Text: DOI
Privault, Nicolas; Wei, Xiao Integration by parts for point processes and Monte Carlo estimation. (English) Zbl 1128.62044 J. Appl. Probab. 44, No. 3, 806-823 (2007). MSC: 62G07 65C05 60H30 60H07 60G55 60K15 PDFBibTeX XMLCite \textit{N. Privault} and \textit{X. Wei}, J. Appl. Probab. 44, No. 3, 806--823 (2007; Zbl 1128.62044) Full Text: DOI
Baringhaus, Ludwig; Grübel, Rudolf Monte Carlo algorithms for finding the maximum of a random walk with negative drift. (English) Zbl 1110.65004 J. Appl. Probab. 43, No. 1, 74-86 (2006). MSC: 65C05 68Q25 60G50 PDFBibTeX XMLCite \textit{L. Baringhaus} and \textit{R. Grübel}, J. Appl. Probab. 43, No. 1, 74--86 (2006; Zbl 1110.65004) Full Text: DOI Euclid
Bossy, Mireille; Gobet, Emmanuel; Talay, Denis A symmetrized Euler scheme for an efficient approximation of reflected diffusions. (English) Zbl 1076.65009 J. Appl. Probab. 41, No. 3, 877-889 (2004). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60H15 60H35 35K20 PDFBibTeX XMLCite \textit{M. Bossy} et al., J. Appl. Probab. 41, No. 3, 877--889 (2004; Zbl 1076.65009) Full Text: DOI
Henderson, Shane G.; Simon, Burt Adaptive simulation using perfect control variates. (English) Zbl 1074.65004 J. Appl. Probab. 41, No. 3, 859-876 (2004). Reviewer: Jaromir Antoch (Praha) MSC: 65C05 60J22 65C40 PDFBibTeX XMLCite \textit{S. G. Henderson} and \textit{B. Simon}, J. Appl. Probab. 41, No. 3, 859--876 (2004; Zbl 1074.65004) Full Text: DOI
Mathé, Peter Numerical integration using \(V\)-uniformly ergodic Markov chains. (English) Zbl 1076.65004 J. Appl. Probab. 41, No. 4, 1104-1112 (2004). Reviewer: R. E. Maiboroda (Kyïv) MSC: 65C05 60J10 65C40 60J22 PDFBibTeX XMLCite \textit{P. Mathé}, J. Appl. Probab. 41, No. 4, 1104--1112 (2004; Zbl 1076.65004) Full Text: DOI
Kruk, Łukasz Limiting distributions for minimum relative entropy calibration. (English) Zbl 1053.62011 J. Appl. Probab. 41, No. 1, 35-50 (2004). Reviewer: Josef Steinebach (Köln) MSC: 62B10 60F05 91B28 94A17 65C05 PDFBibTeX XMLCite \textit{Ł. Kruk}, J. Appl. Probab. 41, No. 1, 35--50 (2004; Zbl 1053.62011) Full Text: DOI
Fort, G.; Moulines, E.; Roberts, G. O.; Rosenthal, J. S. On the geometric ergodicity of hybrid samplers. (English) Zbl 1028.65002 J. Appl. Probab. 40, No. 1, 123-146 (2003). Reviewer: Silvia Curteanu (Iaşi) MSC: 65C05 60J10 65C40 PDFBibTeX XMLCite \textit{G. Fort} et al., J. Appl. Probab. 40, No. 1, 123--146 (2003; Zbl 1028.65002) Full Text: DOI Link
Bebbington, Mark; Harte, David S. On the statistics of the linked stress release model. (English) Zbl 1041.62101 J. Appl. Probab. 38A, Spec. Iss., 176-187 (2001). Reviewer: V. Oganyan (Erevan) MSC: 62P35 86A15 65C05 60G55 62P99 PDFBibTeX XMLCite \textit{M. Bebbington} and \textit{D. S. Harte}, J. Appl. Probab. 38A, 176--187 (2001; Zbl 1041.62101) Full Text: DOI
Andrieu, Christophe; Breyer, Laird A.; Doucet, Arnaud Convergence of simulated annealing using Foster-Lyapunov criteria. (English) Zbl 0999.60066 J. Appl. Probab. 38, No. 4, 975-994 (2001). Reviewer: R.E.Maiboroda (Kyïv) MSC: 60J05 65C40 PDFBibTeX XMLCite \textit{C. Andrieu} et al., J. Appl. Probab. 38, No. 4, 975--994 (2001; Zbl 0999.60066) Full Text: DOI
Adler, Ilan; Ross, Sheldon M. The coupon subset collection problem. (English) Zbl 0994.60007 J. Appl. Probab. 38, No. 3, 737-746 (2001). Reviewer: Ljuben Mutafchiev (Sofia) MSC: 60C05 65C05 PDFBibTeX XMLCite \textit{I. Adler} and \textit{S. M. Ross}, J. Appl. Probab. 38, No. 3, 737--746 (2001; Zbl 0994.60007) Full Text: DOI Link
Pötzelberger, Klaus; Wang, Liqun Boundary crossing probability for Brownian motion. (English) Zbl 0986.60079 J. Appl. Probab. 38, No. 1, 152-164 (2001). Reviewer: Monique Pontier (Toulouse) MSC: 60J65 60G40 65C05 PDFBibTeX XMLCite \textit{K. Pötzelberger} and \textit{L. Wang}, J. Appl. Probab. 38, No. 1, 152--164 (2001; Zbl 0986.60079) Full Text: DOI
Browning, Sharon A Monte Carlo approach to calculating probabilities for continuous identity by descent data. (English) Zbl 0960.92021 J. Appl. Probab. 37, No. 3, 850-864 (2000). MSC: 92D10 65C05 60K99 PDFBibTeX XMLCite \textit{S. Browning}, J. Appl. Probab. 37, No. 3, 850--864 (2000; Zbl 0960.92021) Full Text: DOI
Baggerly, Keith; Cox, Dennis; Picard, Rick Exponential convergence of adaptive importance sampling for Markov chains. (English) Zbl 0966.65005 J. Appl. Probab. 37, No. 2, 342-358 (2000). Reviewer: Jaromir Antoch (Praha) MSC: 65C40 65C05 65C35 92C55 60J22 82D75 86A20 60G50 62D05 PDFBibTeX XMLCite \textit{K. Baggerly} et al., J. Appl. Probab. 37, No. 2, 342--358 (2000; Zbl 0966.65005) Full Text: DOI
François, Olivier Geometric inequalities for the eigenvalues of concentrated Markov chains. (English) Zbl 0961.60067 J. Appl. Probab. 37, No. 1, 15-28 (2000). Reviewer: R.E.Maiboroda (Kyïv) MSC: 60J10 65C05 15A42 PDFBibTeX XMLCite \textit{O. François}, J. Appl. Probab. 37, No. 1, 15--28 (2000; Zbl 0961.60067) Full Text: DOI Link
Roberts, G. O. A note on acceptance rate criteria for CLTs for Metropolis-Hastings algorithms. (English) Zbl 0966.65006 J. Appl. Probab. 36, No. 4, 1210-1217 (1999). MSC: 65C40 65C05 60F05 60J22 65C50 PDFBibTeX XMLCite \textit{G. O. Roberts}, J. Appl. Probab. 36, No. 4, 1210--1217 (1999; Zbl 0966.65006) Full Text: DOI
Tuffin, Bruno Bounded normal approximation in simulations of highly reliable Markovian systems. (English) Zbl 0973.65002 J. Appl. Probab. 36, No. 4, 974-986 (1999). Reviewer: R.Wegmann (Garching) MSC: 65C05 60K10 60J22 PDFBibTeX XMLCite \textit{B. Tuffin}, J. Appl. Probab. 36, No. 4, 974--986 (1999; Zbl 0973.65002) Full Text: DOI
Ross, Sheldon M.; Seshadri, Sridhar Hitting time in an M/G/1 queue. (English) Zbl 0953.60082 J. Appl. Probab. 36, No. 3, 934-940 (1999). Reviewer: A.Brandt (Berlin) MSC: 60K25 60E10 65C05 PDFBibTeX XMLCite \textit{S. M. Ross} and \textit{S. Seshadri}, J. Appl. Probab. 36, No. 3, 934--940 (1999; Zbl 0953.60082) Full Text: DOI
Del Moral, P. A uniform convergence theorem for the numerical solving of the nonlinear filtering problem. (English) Zbl 0940.60060 J. Appl. Probab. 35, No. 4, 873-884 (1998). Reviewer: Henri Schurz (Kaiserslautern) MSC: 60G35 60H30 65C05 PDFBibTeX XMLCite \textit{P. Del Moral}, J. Appl. Probab. 35, No. 4, 873--884 (1998; Zbl 0940.60060) Full Text: DOI Link
Wang, Liqun; Pötzelberger, Klaus Boundary crossing probability for Brownian motion and general boundaries. (English) Zbl 0874.60034 J. Appl. Probab. 34, No. 1, 54-65 (1997). MSC: 60G40 65C05 PDFBibTeX XMLCite \textit{L. Wang} and \textit{K. Pötzelberger}, J. Appl. Probab. 34, No. 1, 54--65 (1997; Zbl 0874.60034) Full Text: DOI Link
Ridder, Ad Fast simulation of Markov fluid models. (English) Zbl 0865.90059 J. Appl. Probab. 33, No. 3, 786-803 (1996). MSC: 90B18 60F10 65C05 PDFBibTeX XMLCite \textit{A. Ridder}, J. Appl. Probab. 33, No. 3, 786--803 (1996; Zbl 0865.90059) Full Text: DOI Link
Koç, Cemal Recurring-with-carry sequences. (English) Zbl 0838.11007 J. Appl. Probab. 32, No. 4, 966-971 (1995). Reviewer: R.F.Tichy (Graz) MSC: 11B37 11A67 11K45 PDFBibTeX XMLCite \textit{C. Koç}, J. Appl. Probab. 32, No. 4, 966--971 (1995; Zbl 0838.11007) Full Text: DOI
Asmussen, Søren; Nielsen, Hanne Mandrup Ruin probabilities via local adjustment coefficients. (English) Zbl 0834.60099 J. Appl. Probab. 32, No. 3, 736-755 (1995). MSC: 60K30 60F10 65C05 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{H. M. Nielsen}, J. Appl. Probab. 32, No. 3, 736--755 (1995; Zbl 0834.60099) Full Text: DOI
Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li Regenerative rare events simulation via likelihood ratios. (English) Zbl 0822.62101 J. Appl. Probab. 31, No. 3, 797-815 (1994). Reviewer: G.Falin (Moskva) MSC: 62P99 60K25 65C05 PDFBibTeX XMLCite \textit{S. Asmussen} et al., J. Appl. Probab. 31, No. 3, 797--815 (1994; Zbl 0822.62101) Full Text: DOI
Borovkov, K. A. On simulation of random vectors with given densities in regions and on their boundaries. (English) Zbl 0804.65004 J. Appl. Probab. 31, No. 1, 205-220 (1994). Reviewer: Wang Cheng-Shu (Denver) MSC: 65C10 65C05 11K45 60K20 60J10 PDFBibTeX XMLCite \textit{K. A. Borovkov}, J. Appl. Probab. 31, No. 1, 205--220 (1994; Zbl 0804.65004) Full Text: DOI
Vázquez-Abad, Felisa J.; Kushner, Harold J. Estimation of the derivative of a stationary measure with respect to a control parameter. (English) Zbl 0792.62076 J. Appl. Probab. 29, No. 2, 343-352 (1992). Reviewer: R.W.Shonkwiler (Atlanta) MSC: 62M05 60J27 62F99 65C05 PDFBibTeX XMLCite \textit{F. J. Vázquez-Abad} and \textit{H. J. Kushner}, J. Appl. Probab. 29, No. 2, 343--352 (1992; Zbl 0792.62076) Full Text: DOI
Glasserman, Paul Processes with associated increments. (English) Zbl 0757.60068 J. Appl. Probab. 29, No. 2, 313-333 (1992). Reviewer: N.Kalinauskaitė (Vilnius) MSC: 60J99 65C05 PDFBibTeX XMLCite \textit{P. Glasserman}, J. Appl. Probab. 29, No. 2, 313--333 (1992; Zbl 0757.60068) Full Text: DOI
Bélisle, Claude J. P. Convergence theorems for a class of simulated annealing algorithms on \({\mathbb{R}{}}^ d\). (English) Zbl 0765.65059 J. Appl. Probab. 29, No. 4, 885-895 (1992). Reviewer: T.F.Coleman (Ithaca) MSC: 65K05 65C05 90C27 60J25 PDFBibTeX XMLCite \textit{C. J. P. Bélisle}, J. Appl. Probab. 29, No. 4, 885--895 (1992; Zbl 0765.65059) Full Text: DOI
Rodgers, R. P. C.; Baddeley, A. J. Nested Monte Carlo study of random packing on the sphere. (English) Zbl 0731.60077 J. Appl. Probab. 28, No. 3, 539-552 (1991). MSC: 60J80 65C05 PDFBibTeX XMLCite \textit{R. P. C. Rodgers} and \textit{A. J. Baddeley}, J. Appl. Probab. 28, No. 3, 539--552 (1991; Zbl 0731.60077) Full Text: DOI Link
Wang, Suojin Saddlepoint approximations for bivariate distributions. (English) Zbl 0715.60020 J. Appl. Probab. 27, No. 3, 586-597 (1990). Reviewer: I.Křívy MSC: 60E99 65C05 PDFBibTeX XMLCite \textit{S. Wang}, J. Appl. Probab. 27, No. 3, 586--597 (1990; Zbl 0715.60020) Full Text: DOI
Bucklew, James A.; Ney, Peter; Sadowsky, John S. Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains. (English) Zbl 0702.60028 J. Appl. Probab. 27, No. 1, 44-59 (1990). MSC: 60F10 65C05 60G50 PDFBibTeX XMLCite \textit{J. A. Bucklew} et al., J. Appl. Probab. 27, No. 1, 44--59 (1990; Zbl 0702.60028) Full Text: DOI
Cooper, Douglas W. Random sequential packing simulations in three dimensions for aligned cubes. (English) Zbl 0697.60011 J. Appl. Probab. 26, No. 3, 664-670 (1989). Reviewer: T.F.Mori MSC: 60C05 62L99 60D05 60F05 65C05 PDFBibTeX XMLCite \textit{D. W. Cooper}, J. Appl. Probab. 26, No. 3, 664--670 (1989; Zbl 0697.60011) Full Text: DOI
Winter, B. B. Joint simulation of backward and forward recurrence times in a renewal process. (English) Zbl 0676.60081 J. Appl. Probab. 26, No. 2, 404-407 (1989). Reviewer: R.Grübel MSC: 60K05 65C05 PDFBibTeX XMLCite \textit{B. B. Winter}, J. Appl. Probab. 26, No. 2, 404--407 (1989; Zbl 0676.60081) Full Text: DOI
Pruscha, Helmut Learning models with continuous time parameter and multivariate point processes. (English) Zbl 0526.60100 J. Appl. Probab. 20, 884-890 (1983). MSC: 60K99 60J27 65C05 60G55 91E99 PDFBibTeX XMLCite \textit{H. Pruscha}, J. Appl. Probab. 20, 884--890 (1983; Zbl 0526.60100) Full Text: DOI
Brown, Mark; Solomon, Herbert; Stephens, Michael A. Monte Carlo simulation of the renewal function. (English) Zbl 0459.60076 J. Appl. Probab. 18, 426-434 (1981). MSC: 60K05 65C05 65C20 PDFBibTeX XMLCite \textit{M. Brown} et al., J. Appl. Probab. 18, 426--434 (1981; Zbl 0459.60076) Full Text: DOI
Peterson, Arthur V.; Kronmal, Richard A. A representation for discrete distributions by equiprobable mixtures. (English) Zbl 0424.60015 J. Appl. Probab. 17, 102-111 (1980). MSC: 60E05 65C10 60E99 65C05 PDFBibTeX XMLCite \textit{A. V. Peterson} and \textit{R. A. Kronmal}, J. Appl. Probab. 17, 102--111 (1980; Zbl 0424.60015) Full Text: DOI
de Mare, Jacques Reconstruction of a stationary Gaussian process from its sign-changes. (English) Zbl 0362.60055 J. Appl. Probab. 14, 38-57 (1977). MSC: 60G15 60G10 60G35 65C05 62M20 PDFBibTeX XMLCite \textit{J. de Mare}, J. Appl. Probab. 14, 38--57 (1977; Zbl 0362.60055) Full Text: DOI
Chvatal, Vaclav; Sankoff, David Longest common subsequences of two random sequences. (English) Zbl 0313.60008 J. Appl. Probab. 12, 306-315 (1975). MSC: 60C05 65C10 65C05 PDFBibTeX XMLCite \textit{V. Chvatal} and \textit{D. Sankoff}, J. Appl. Probab. 12, 306--315 (1975; Zbl 0313.60008) Full Text: DOI