## Monte Carlo Methods and Applications

 Short Title: Monte Carlo Methods Appl. Publisher: De Gruyter, Berlin ISSN: 0929-9629; 1569-3961/e Online: http://www.degruyter.com/view/j/mcma Comments: Indexed cover-to-cover
 Documents Indexed: 592 Publications (since 1995) References Indexed: 306 Publications with 5,487 References.
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### Authors

 61 Sabelfeld, Karl Karlovich 17 Mascagni, Michael V. 11 Shalimova, Irina A. 11 Sobol’, Il’ya Meerovich 10 Pagès, Gilles 8 Kolyukhin, Dmitry Romanovich 8 Levykin, Alexander I. 8 Mori, Makoto 8 Wagner, Wolfgang 7 Ermakov, Sergeĭ Mikhaĭlovich 7 Halton, John H. 7 Kolodko, Anastasya A. 7 Ogawa, Shigeyoshi 7 Shukhman, Boris V. 6 Dimov, Ivan Todor 6 Grecksch, Wilfried 6 Kozachenko, Yuriĭ Vasyl’ovych 6 Kurbanmuradov, O. A. 6 Nasroallah, Abdelaziz 6 Simonov, Nikolai A. 6 Voĭtishek, Anton Vaclavovich 5 Egorov, Aleksandr Dmitrievich 5 Gobet, Emmanuel 5 Halidias, Nikolaos 5 Lejay, Antoine 5 Maire, Sylvain 5 Nadarajah, Saralees 5 Ökten, Giray 5 Tempone, Raúl F. 5 Tuffin, Bruno 5 Yamada, Toshihiro 4 Grigoriu, Mircea D. 4 Jourdain, Benjamin 4 Karaivanova, Aneta 4 Kraft, Markus 4 Lécot, Christian 4 Lelong, Jérôme 4 Printems, Jacques 4 Saleeby, Elias George 4 Sugita, Hiroshi 4 Takashima, Keizo 4 Zio, Enrico 3 Alaoui, Mohammed 3 Baliti, Jamal 3 Bally, Vlad 3 Borisov, N. M. 3 Guiaş, Flavius 3 Hausenblas, Erika 3 Heinz, Stefan 3 Hiderah, Kamal 3 Hin, Lin-Yee 3 Hssikou, Mohamed 3 Hwang, Chi-Ok 3 Kawai, Reiichiro 3 Lang, Annika 3 Li, Yaohang 3 Nedjalkov, Mihail 3 Panin, M. P. 3 Pham, Huong Thi Thu 3 Platen, Eckhard 3 Rogasinsky, Sergey V. 3 Rowe, Daniel B. 3 Russo, Francesco 3 Sahoo, L. N. 3 Schoenmakers, John G. M. 3 Selberherr, Siegfried 3 Shkarupa, Elena V. 3 Smidts, O. F. 3 Tanré, Etienne 3 Tichy, Robert Franz 3 Uhl, Andreas 3 Warin, Xavier 3 Yaguchi, Hirotake 2 Albrecher, Hansjörg 2 Aloui, Abdelouhab 2 Anh, Vo V. 2 Antipov, M. V. 2 Antyufeev, Victor S. 2 Arsham, Hossein 2 Atanassov, Emanouil I. 2 Averina, Tat’yana Aleksandrovna 2 Benabdallah, Mohsine 2 Bossy, Mireille 2 Bouazza, Abdelkader 2 Bouleau, Nicolas 2 Bounnite, Mohamed Yasser 2 Campillo, Fabien 2 Caramellino, Lucia 2 Chatterjee, Kausik 2 Chauhan, Manmohan Singh 2 Chi, Hongmei 2 Dick, Josef 2 Dreyer, Wolfgang 2 Dubi, Arie 2 Dubus, Alain 2 El-Khaldi, Khaldoun 2 Elkettani, Youssfi 2 Elkimakh, Karima 2 Entacher, Karl 2 Fournier, Nicolas G. ...and 619 more Authors
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### Fields

 466 Numerical analysis (65-XX) 217 Probability theory and stochastic processes (60-XX) 98 Statistics (62-XX) 72 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 62 Fluid mechanics (76-XX) 60 Statistical mechanics, structure of matter (82-XX) 52 Number theory (11-XX) 50 Partial differential equations (35-XX) 23 Computer science (68-XX) 21 Integral equations (45-XX) 18 Ordinary differential equations (34-XX) 15 Dynamical systems and ergodic theory (37-XX) 13 Geophysics (86-XX) 13 Biology and other natural sciences (92-XX) 12 Systems theory; control (93-XX) 11 Quantum theory (81-XX) 10 Operations research, mathematical programming (90-XX) 8 General and overarching topics; collections (00-XX) 6 Measure and integration (28-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 6 Mechanics of deformable solids (74-XX) 5 Optics, electromagnetic theory (78-XX) 4 Convex and discrete geometry (52-XX) 4 Classical thermodynamics, heat transfer (80-XX) 4 Information and communication theory, circuits (94-XX) 3 Real functions (26-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Approximations and expansions (41-XX) 2 Functional analysis (46-XX) 2 Astronomy and astrophysics (85-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Algebraic geometry (14-XX) 1 Potential theory (31-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Differential geometry (53-XX) 1 Global analysis, analysis on manifolds (58-XX)

### Citations contained in zbMATH Open

333 Publications have been cited 1,566 times in 1,195 Documents Cited by Year
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
2005
The law of the Euler scheme for stochastic differential equations. II: Convergence rate of the density. Zbl 0866.60049
1996
Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012
Pagés, Gilles; Printems, Jacques
2003
Balanced Milstein methods for ordinary SDEs. Zbl 1105.65009
Kahl, Christian; Schurz, Henri
2006
Functional quantization for numerics with an application to option pricing. Zbl 1161.91402
Pagès, Gilles; Printems, Jacques
2005
Adaptative Monte Carlo method, a variance reduction technique. Zbl 1063.65003
Arouna, Bouhari
2004
On a Monte Carlo scheme for Smoluchowski’s coagulation equation. Zbl 0937.76058
Babovsky, Hans
1999
A general method for debiasing a Monte Carlo estimator. Zbl 1238.65004
McLeish, Don
2011
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2014
A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045
Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny
2012
Stable ROW-type weak scheme for stochastic differential equations. Zbl 0841.65146
Komori, Yoshio; Mitsui, Taketomo
1995
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007
Étoré, Pierre; Martinez, Miguel
2013
A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044
Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried
2014
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
2009
Monte Carlo estimators for small sensitivity indices. Zbl 1138.65004
Sobol’, I. M.; Myshetskaya, E. E.
2007
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011
Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl
2014
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino
2005
Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265
Sabelfeld, Karl K.
2016
Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007
Sabelfeld, Karl K.
2017
Quasi-Monte Carlo methods for numerical integration: Comparison of different low discrepancy sequences. Zbl 0851.65015
Radović, Igor; Sobol’, Ilya M.; Tichy, Robert F.
1996
Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation. Zbl 0848.65093
Sabelfeld, K. K.; Rogasinsky, S. V.; Kolodko, A. A.; Levykin, A. I.
1996
Edgeworth type expansions for Euler schemes for stochastic differential equations. Zbl 1028.65005
Konakov, Valentin; Mammen, Enno
2002
Fast simulation of Gaussian random fields. Zbl 1226.65008
Lang, Annika; Potthoff, Jürgen
2011
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016
Kawai, Reiichiro; Masuda, Hiroki
2011
Upper bounds for Bermudan style derivatives. Zbl 1096.91027
Kolodko, A.; Schoenmakers, J.
2004
A stochastic quantization method for nonlinear problems. Zbl 1035.65008
Bally, Vlad; Pagès, Gilles; Printems, Jacques
2001
Stochastic spectral and Fourier-wavelet methods for vector Gaussian random fields. Zbl 1121.65013
2006
Minimal entropy approximations and optimal algorithms. Zbl 1018.65014
Crisan, Dan; Lyons, Terry
2002
On the use of low discrepancy sequences in Monte Carlo methods. Zbl 0868.65010
Tuffin, Bruno
1996
A Monte Carlo approach to the Smoluchowski equations. Zbl 0890.65074
Guiaş, Flavius
1997
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
2017
Sparsified randomization algorithms for large systems of linear equations and a new version of the random walk on boundary method. Zbl 1180.65007
Sabelfeld, K.; Mozartova, N.
2009
On global sensitivity analysis of quasi-Monte Carlo algorithms. Zbl 1072.65004
Sobol’, I. M.; Kucherenko, S. S.
2005
A partial sampling method applied to the Kusuoka approximation. Zbl 1046.65007
Ninomiya, Syoiti
2003
Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004
Pagès, Gilles
2007
The $$\Theta$$-Maruyama scheme for stochastic functional differential equations with distributed memory term. Zbl 1071.65004
Buckwar, Evelyn
2004
A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications. Zbl 0868.65011
Ökten, Giray
1996
Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003
Kubilius, Kestutis; Platen, Eckhard
2002
Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062
Lejay, Antoine
2003
Stochastic particle methods for Smoluchowski coagulation equation: Variance reduction and error estimations. Zbl 1052.76056
Kolodko, A.; Sabelfeld, K.
2003
Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060
Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef
2005
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
2002
Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147
Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi
1997
Deviational particle Monte Carlo for the Boltzmann equation. Zbl 1158.82002
Wagner, Wolfgang
2008
Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236
Halidias, Nikolaos
2015
Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450
Le Bris, Claude; Legoll, Frédéric; Minvielle, William
2016
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
2018
Exact retrospective Monte Carlo computation of arithmetic average Asian options. Zbl 1192.91178
Jourdain, Benjamin; Sbai, Mohamed
2007
Stochastic Lagrangian models for two-particle motion in turbulent flows. Zbl 0903.76040
1997
A framework for adaptive Monte Carlo procedures. Zbl 1223.65003
Lapeyre, Bernard; Lelong, Jérôme
2011
A fractional stochastic evolution equation driven by fractional Brownian motion. Zbl 1049.60056
Anh, V. V.; Grecksch, W.
2003
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
2012
Towards automatic global error control: Computable weak error expansion for the tau-leap method. Zbl 1241.65006
Karlsson, Jesper; Tempone, Raúl
2011
Expansion of random boundary excitations for elliptic PDEs. Zbl 1158.60027
Sabelfeld, Karl
2007
Convergence rate for spherical processes with shifted centres. Zbl 1068.65004
Golyandina, N.
2004
Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378
Lejay, Antoine
2004
Direct simulation and mass flow stochastic algorithms to solve a sintering-coagulation equation. Zbl 1076.82028
Wells, Clive G.; Kraft, Markus
2005
Stochastic Lagrangian models for two-particle motion in turbulent flows. Numerical results. Zbl 0891.76048
Kurbanmuradov, O.; Sabelfeld, K.; Koluhin, D.
1997
Component-by-component construction of low-discrepancy point sets of small size. Zbl 1156.11030
Doerr, Benjamin; Gnewuch, Michael; Kritzer, Peter; Pillichshammer, Friedrich
2008
Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103
Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A.
2015
An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. Zbl 1335.60151
Dereudre, David; Mazzonetto, Sara; Roelly, Sylvie
2016
Monte Carlo difference schemes for the wave equation. Zbl 1002.65005
Ermakov, Sergej M.; Wagner, Wolfgang
2002
Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180
Creasey, Peter E.; Lang, Annika
2018
Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211
Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco
2018
A parallel algorithm for solving BSDEs. Zbl 1263.65005
Labart, Céline; Lelong, Jérôme
2013
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
2006
An importance sampling method based on density transformation of Lévy processes. Zbl 1099.65005
Kawai, Reiichiro
2006
Adaptive weak approximation of reflected and stopped diffusions. Zbl 1196.65029
Bayer, Christian; Szepessy, Anders; Tempone, Raúl
2010
Pseudo-random number generator by means of irrational rotation. Zbl 0827.65002
Sugita, Hiroshi
1995
A new optimal Monte Carlo method for calculating integrals of smooth functions. Zbl 0945.65017
Atanassov, Emanouil I.; Dimov, Ivan T.
1999
Comparison of a stochastic particle method and a finite volume deterministic method applied to Burgers equation. Zbl 0962.65075
Bossy, Mireille; Fezoui, Loula; Piperno, Serge
1997
Real-time scheme for the volatility estimation in the presence of microstructure noise. Zbl 1151.91529
Ogawa, Shigeyoshi
2008
Quasi-probability. Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically. Zbl 1161.62307
Halton, John H.
2005
A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190
Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki
2014
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
2015
Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation. Zbl 1128.65002
Kawai, Reiichiro
2007
Efficient schemes for the weak approximation of reflected diffusions. Zbl 0986.65002
Gobet, Emmanuel
2001
Exact simulation of Bessel diffusions. Zbl 1206.65026
Makarov, Roman N.; Glew, Devin
2010
Stochastic iterative projection methods for large linear systems. Zbl 1206.65135
2010
A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023
Belaribi, Nadia; Cuvelier, François; Russo, Francesco
2011
Quasi-Monte Carlo algorithms for solving linear algebraic equations. Zbl 1121.65003
Ermakov, S. M.; Rukavishnikova, A.
2006
On a real-time scheme for the estimation of volatility. Zbl 1219.91160
Ogawa, Shigeyoshi; Wakayama, Koji
2007
A Taylor space for multivariate integration. Zbl 1103.65007
Dick, Josef
2006
A best possible upper bound on the star discrepancy of $$(t,m,2)$$-nets. Zbl 1103.11022
Dick, Josef; Kritzer, Peter
2006
Monte Carlo approximations of the Neumann problem. Zbl 1279.65009
Maire, Sylvain; Tanré, Etienne
2013
Preliminary control variates to improve empirical regression methods. Zbl 1392.62106
Ben Zineb, Tarik; Gobet, Emmanuel
2013
A central limit theorem for the functional estimation of the spot volatility. Zbl 1182.62167
Ngo, Hoang-Long; Ogawa, Shigeyoshi
2009
Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. Zbl 1066.65014
Egorov, A. D.; Zherelo, A. V.
2004
A theoretical view on transforming low-discrepancy sequences from a cube to a simplex. Zbl 1109.65305
Pillards, Tim; Cools, Ronald
2004
Stochastic flow simulation in 3D porous media. Zbl 1133.76042
Kolyukhin, Dmitry; Sabelfeld, Karl
2005
Integral formulation of the boundary value problems and the method of random walk on spheres. Zbl 0824.65127
Sabelfeld, K. K.; Talay, D.
1995
A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445
Campillo, Fabien; Lejay, Antoine
2002
Construction of two dimensional low discrepancy sequences. Zbl 1038.11045
Mori, Makoto
2002
Low discrepancy sequences generated by piecewise linear maps. Zbl 0917.11034
Mori, Makoto
1998
Stochastic Lagrangian models for two-particle relative dispersion in high Reynolds number turbulence. Zbl 0879.76038
1997
Convergence of a Nanbu type method for the Smoluchowski equation. Zbl 0890.65072
Kolodko, Anastasya A.; Wagner, Wolfgang
1997
Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. Zbl 0890.65073
Sabelfeld, K. K.; Kolodko, A. A.
1997
Linear congruential generators for parallel Monte Carlo: The leap-frog case. Zbl 0907.65005
Entacher, K.; Uhl, A.; Wegenkittl, S.
1998
Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions. Zbl 1338.65007
Sabelfeld, Karl K.
2016
A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101
2019
On the dependence structure and quality of scrambled $$(t,m,s)$$-nets. Zbl 1469.11248
Wiart, Jaspar; Lemieux, Christiane; Dong, Gracia Y.
2021
Body tail adaptive kernel density estimation for nonnegative heavy-tailed data. Zbl 1467.62059
Ziane, Yasmina; Zougab, Nabil; Adjabi, Smail
2021
Optimal potential functions for the interacting particle system method. Zbl 1469.65012
Chraibi, Hassane; Dutfoy, Anne; Galtier, Thomas; Garnier, Josselin
2021
A global random walk on grid algorithm for second order elliptic equations. Zbl 07419515
Sabelfeld, Karl K.; Smirnov, Dmitrii
2021
Neural network regression for Bermudan option pricing. Zbl 1476.62205
Lapeyre, Bernard; Lelong, Jérôme
2021
Random walk on ellipsoids method for solving elliptic and parabolic equations. Zbl 1469.65018
Shalimova, Irina; Sabelfeld, Karl K.
2020
On the density of lines and Santalo’s formula for computing geometric size measures. Zbl 1464.52004
El Khaldi, Khaldoun; Saleeby, Elias G.
2020
Constructing a confidence interval for the ratio of normal distribution quantiles. Zbl 1466.62316
2020
A Bayesian procedure for bandwidth selection in circular kernel density estimation. Zbl 1436.62117
Bedouhene, Kahina; Zougab, Nabil
2020
Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Zbl 07218633
Bourgey, Florian; De Marco, Stefano; Gobet, Emmanuel; Zhou, Alexandre
2020
Multilevel Monte Carlo by using the Halton sequence. Zbl 1454.65003
Nagy, Shady Ahmed; El-Beltagy, Mohamed A.; Wafa, Mohamed
2020
A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101
2019
A random walk on small spheres method for solving transient anisotropic diffusion problems. Zbl 07130560
Shalimova, Irina; Sabelfeld, Karl K.
2019
A global random walk on spheres algorithm for transient heat equation and some extensions. Zbl 07061111
Sabelfeld, Karl K.
2019
Geometry entrapment in walk-on-subdomains. Zbl 07165108
Hamlin, Preston; Thrasher, W. John; Keyrouz, Walid; Mascagni, Michael
2019
Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems. Zbl 1416.65020
Sabelfeld, Karl K.
2019
On the sample-mean method for computing hyper-volumes. Zbl 1420.52009
Rabiei, Nima; Saleeby, Elias G.
2019
A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion. Zbl 1425.60062
2019
Quasi-Monte Carlo method for solving Fredholm equations. Zbl 07130558
Sobol, I. M.; Shukhman, B. V.
2019
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053
Pagès, Gilles; Rey, Clément
2019
Comparison of Sobol’ sequences in financial applications. Zbl 07061109
Harase, Shin
2019
An aspect of optimal regression design for LSMC. Zbl 07165104
Weiß, Christian; Nikolić, Zoran
2019
Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge. Zbl 1432.91138
Jang, Hanbyeol; Wang, Jian; Kim, Junseok
2019
Particle diffusion Monte Carlo (PDMC). Zbl 1416.65023
2019
On solving stochastic differential equations. Zbl 1475.65002
Ermakov, Sergej M.; Pogosian, Anna A.
2019
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
2018
Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180
Creasey, Peter E.; Lang, Annika
2018
Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211
Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco
2018
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Zbl 1405.60107
2018
On average dimensions of particle transport estimators. Zbl 06882441
Sobol, Ilya M.; Shukhman, Boris V.
2018
On the modeling of linear system input stochastic processes with given accuracy and reliability. Zbl 1391.60072
Rozora, Iryna; Lyzhechko, Mariia
2018
Pricing barrier options in the Heston model using the Heath-Platen estimator. Zbl 1408.91232
Coskun, Sema; Korn, Ralf
2018
Random walk on spheres method for solving anisotropic drift-diffusion problems. Zbl 1386.65026
Shalimova, Irina; Sabelfeld, Karl K.
2018
Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging. Zbl 1391.65012
Sabelfeld, Karl K.; Kireeva, Anastasiya
2018
On the efficient simulation of the left-tail of the sum of correlated log-normal variates. Zbl 1391.65006
Alouini, Mohamed-Slim; Ben Rached, Nadhir; Kammoun, Abla; Tempone, Raul
2018
Weather derivatives pricing using regime switching model. Zbl 1408.91212
Evarest, Emmanuel; Berntsson, Fredrik; Singull, Martin; Yang, Xiangfeng
2018
A new hybrid Cuckoo search and firefly optimization. Zbl 1390.90620
Elkhechafi, Mariam; Hachimi, Hanaa; Elkettani, Youssfi
2018
The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation. Zbl 06964429
Tamiti, Kenza; Ourbih-Tari, Megdouda; Aloui, Abdelouhab; Idjis, Khelidja
2018
Simulation of generalized fractional Brownian motion in $$C([0,T])$$. Zbl 1398.60057
Kozachenko, Yuriy; Pashko, Anatolii; Vasylyk, Olga
2018
A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation. Zbl 06964431
Sabelfeld, Karl K.; Eremeev, Georgy
2018
Markov-chain Monte-Carlo methods and non-identifiabilities. Zbl 06964432
Müller, Christian; Weysser, Fabian; Mrziglod, Thomas; Schuppert, Andreas
2018
Global sensitivity analysis for a stochastic flow problem. Zbl 07008423
Kolyukhin, Dmitriy
2018
Sampling from the $$\mathcal{G}_I^0$$ distribution. Zbl 1407.94013
Chan, Debora; Rey, Andrea; Gambini, Juliana; Frery, Alejandro C.
2018
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. Zbl 1405.65015
Lay, Harold A.; Colgin, Zane; Reshniak, Viktor; Khaliq, Abdul Q. M.
2018
Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007
Sabelfeld, Karl K.
2017
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
2017
Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
2017
On the tangent model for the density of lines and a Monte Carlo method for computing hypersurface area. Zbl 1360.65071
El Khaldi, Khaldoun; Saleeby, Elias G.
2017
Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies. Zbl 1395.60043
Grigoriu, Mircea
2017
HMM with emission process resulting from a special combination of independent Markovian emissions. Zbl 1386.60253
Nasroallah, Abdelaziz; Elkimakh, Karima
2017
MCMC design-based non-parametric regression for rare event. application to nested risk computations. Zbl 1360.65024
Fort, Gersende; Gobet, Emmanuel; Moulines, Eric
2017
Invariant density estimation for a reflected diffusion using an Euler scheme. Zbl 1370.60132
Cattiaux, Patrick; León, José R.; Prieur, Clémentine
2017
Stochastic mesh method for optimal stopping problems. Zbl 1364.65005
Kashtanov, Yuri
2017
Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265
Sabelfeld, Karl K.
2016
Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450
Le Bris, Claude; Legoll, Frédéric; Minvielle, William
2016
An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. Zbl 1335.60151
Dereudre, David; Mazzonetto, Sara; Roelly, Sylvie
2016
Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions. Zbl 1338.65007
Sabelfeld, Karl K.
2016
The acceptance-rejection method for low-discrepancy sequences. Zbl 1405.65013
Nguyen, Nguyet; Ökten, Giray
2016
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators. Zbl 1344.65013
Al Gerbi, Anis; Jourdain, Benjamin; Clément, Emmanuelle
2016
Numerical computation for backward doubly SDEs with random terminal time. Zbl 1346.60107
Matoussi, Anis; Sabbagh, Wissal
2016
Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process. Zbl 1351.60087
Benabdallah, Mohsine; Elkettani, Youssfi; Hiderah, Kamal
2016
The planar Couette flow with slip and jump boundary conditions in a microchannel. Zbl 1404.76233
Hssikou, Mohamed; Baliti, Jamal; Alaoui, Mohammed
2016
A search for extensible low-WAFOM point sets. Zbl 1359.65006
Harase, Shin
2016
Splitting and survival probabilities in stochastic random walk methods and applications. Zbl 1334.65009
Sabelfeld, Karl K.
2016
On the complexity of binary floating point pseudorandom generation. Zbl 1338.65009
2016
Study and simulation of the sputtering process of material layers in plasma. Zbl 1338.82052
2016
On the construction of boundary preserving numerical schemes. Zbl 1351.60072
Halidias, Nikolaos
2016
Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236
Halidias, Nikolaos
2015
Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103
Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A.
2015
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
2015
Optimal switching problems under partial information. Zbl 1327.60034
Li, Kai; Nyström, Kaj; Olofsson, Marcus
2015
A new numerical scheme for the CIR process. Zbl 1335.60129
Halidias, Nikolaos
2015
A limit theorem for average dimensions. Zbl 1358.11091
Shukhman, Boris V.; Sobol, Ilya M.
2015
Bayesian beta regression models. Zbl 1307.62170
Cepeda-Cuervo, Edilberto; Garrido, Liliana
2015
Stochastic simulation of fluctuation-induced reaction-diffusion kinetics governed by Smoluchowski equations. Zbl 1321.65005
Sabelfeld, Karl K.; Levykin, Alexander I.; Kireeva, Anastasiya E.
2015
DSMC method for a two-dimensional flow with a gravity field in a square cavity. Zbl 1307.76070
Hssikou, Mohamed; Baliti, Jamal; Bouzineb, Yassir; Alaoui, Mohammed
2015
The parallel replica method for computing equilibrium averages of Markov chains. Zbl 1329.65005
Aristoff, David
2015
A class of probabilistic models for the Schrödinger equation. Zbl 1321.35186
Wagner, Wolfgang
2015
Computing the exit-time for a finite-range symmetric jump process. Zbl 1330.35013
Burch, Nathanial; Lehoucq, R. B.
2015
Infinite-dimensional Monte Carlo integration. Zbl 1334.65063
Pantsulaia, Gogi R.
2015
Widening and clustering techniques allowing the use of monotone CFTP algorithm. Zbl 1355.60098
Bounnite, Mohamed Yasser; Nasroallah, Abdelaziz
2015
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
2014
A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044
Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried
2014
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011
Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl
2014
A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190
Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki
2014
Quasi-Monte Carlo: a high-dimensional experiment. Zbl 1305.11066
Sobol, Ilya M.; Shukhman, Boris V.
2014
Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients. Zbl 1307.65013
Shalimova, Irina A.; Sabelfeld, Karl K.
2014
An efficient Monte Carlo solution for problems with random matrices. Zbl 1294.82023
Grigoriu, Mircea
2014
Multilevel Monte Carlo for Asian options and limit theorems. Zbl 1302.91194
Ben Alaya, Mohamed; Kebaier, Ahmed
2014
Toward a coherent Monte Carlo simulation of CVA. Zbl 1302.91191
Abbas-Turki, Lokman A.; Bouselmi, Aych I.; Mikou, Mohammed A.
2014
Hybrid Monte Carlo methods in credit risk management. Zbl 1305.65009
Del Chicca, Lucia; Larcher, Gerhard
2014
The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process. Zbl 1398.60056
Kozachenko, Yuriy V.; Sergiienko, Mykola P.
2014
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007
Étoré, Pierre; Martinez, Miguel
2013
A parallel algorithm for solving BSDEs. Zbl 1263.65005
Labart, Céline; Lelong, Jérôme
2013
Monte Carlo approximations of the Neumann problem. Zbl 1279.65009
Maire, Sylvain; Tanré, Etienne
2013
Preliminary control variates to improve empirical regression methods. Zbl 1392.62106
Ben Zineb, Tarik; Gobet, Emmanuel
2013
Double-barrier first-passage times of jump-diffusion processes. Zbl 1410.91446
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias
2013
A direct inversion method for non-uniform quasi-random point sequences. Zbl 1271.11081
Schretter, Colas; Niederreiter, Harald
2013
A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045
Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny
2012
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
2012
...and 233 more Documents
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### Cited by 1,596 Authors

 54 Sabelfeld, Karl Karlovich 41 Pagès, Gilles 18 Kawai, Reiichiro 16 Dimov, Ivan Todor 15 Wagner, Wolfgang 13 Jentzen, Arnulf 12 Jourdain, Benjamin 12 Maire, Sylvain 12 Sellier, Jean Michel 12 Tempone, Raúl F. 11 Gobet, Emmanuel 11 Kraft, Markus 11 Ökten, Giray 10 Lejay, Antoine 10 Lelièvre, Tony 10 Luschgy, Harald 10 Pham, Huyên 10 Shalimova, Irina A. 9 Bossy, Mireille 9 Schoenmakers, John G. M. 9 Yamada, Toshihiro 8 Dereich, Steffen 8 Ermakov, Sergeĭ Mikhaĭlovich 8 Kohatsu-Higa, Arturo 8 Russo, Francesco 7 Alfonsi, Aurélien 7 Barth, Andrea 7 Giles, Michael B. 7 Kebaier, Ahmed 7 Komori, Yoshio 7 Mackevičius, Vigirdas 7 Mao, Xuerong 7 Ogawa, Shigeyoshi 7 Oudjane, Nadia 7 Talay, Denis 7 Warin, Xavier 6 Bally, Vlad 6 Crisan, Dan O. 6 Gan, Siqing 6 Gnewuch, Michael 6 Hosseini, Seyed Mohammad 6 Jasra, Ajay 6 Kozachenko, Yuriĭ Vasyl’ovych 6 Kritzer, Peter 6 Lang, Annika 6 L’Ecuyer, Pierre 6 Lelong, Jérôme 6 Lemaire, Vincent 6 McKibben, Mark Anthony 6 Menozzi, Stéphane 6 Sagna, Abass 5 Bandini, Elena 5 Barczy, Mátyás 5 Bender, Christian 5 Buckwar, Evelyn 5 Burrage, Kevin 5 Callegaro, Giorgia 5 Caramellino, Lucia 5 Dick, Josef 5 Kolyukhin, Dmitry Romanovich 5 Konakov, Valentin 5 Lécot, Christian 5 Mascagni, Michael V. 5 Mori, Makoto 5 Moulines, Eric 5 Nectoux, Boris 5 Ngo, Hoang-Long 5 Panloup, Fabien 5 Prieur, Clémentine 5 Ritter, Klaus 5 Sobol’, Il’ya Meerovich 5 Zhao, Weidong 4 Alaya, Mohamed Ben 4 Aristoff, David 4 Bardou, Olivier 4 Beck, Christian 4 Belomestny, Denis 4 Belopol’skaya, Yana Isaevna 4 Bréhier, Charles-Edouard 4 Cosso, Andrea 4 De Luigi, Christophe 4 Egorov, Aleksandr Dmitrievich 4 Étoré, Pierre 4 Fiorin, Lucio 4 Frikha, Noufel 4 Fuhrman, Marco 4 Haji-Ali, Abdul-Lateef 4 Halidias, Nikolaos 4 Hefter, Mario 4 Heinrich, Stefan 4 Hoel, Hakon A. 4 Hutzenthaler, Martin 4 Kolodko, Anastasya A. 4 Le Bris, Claude 4 Le Peutrec, Dorian 4 Legoll, Frédéric 4 Nobile, Fabio 4 Patterson, Robert I. A. 4 Pichot, Géraldine 4 Pillichshammer, Friedrich ...and 1,496 more Authors
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### Cited in 285 Journals

 114 Monte Carlo Methods and Applications 48 Journal of Computational and Applied Mathematics 46 Journal of Computational Physics 42 Stochastic Processes and their Applications 39 The Annals of Applied Probability 26 Mathematics and Computers in Simulation 25 Journal of Complexity 22 Stochastic Analysis and Applications 19 Quantitative Finance 16 Bernoulli 15 BIT 15 SIAM Journal on Scientific Computing 15 Methodology and Computing in Applied Probability 14 Applied Mathematics and Computation 14 Vestnik St. Petersburg University. Mathematics 13 Applied Numerical Mathematics 13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 12 International Journal of Theoretical and Applied Finance 11 Mathematics of Computation 11 SIAM Journal on Numerical Analysis 10 Annals of Operations Research 10 Statistics and Computing 10 SIAM/ASA Journal on Uncertainty Quantification 9 Finance and Stochastics 8 Computers & Mathematics with Applications 8 Insurance Mathematics & Economics 8 Statistics & Probability Letters 8 Numerical Algorithms 8 International Journal of Computer Mathematics 8 Journal of Statistical Computation and Simulation 8 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 8 Electronic Journal of Statistics 7 Computer Physics Communications 7 Journal of Statistical Physics 7 The Annals of Statistics 7 Journal of Statistical Planning and Inference 7 Numerische Mathematik 7 Applied Mathematics Letters 7 Journal of Scientific Computing 7 Applied Mathematical Modelling 7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 Applied Mathematical Finance 7 SIAM Journal on Financial Mathematics 7 Stochastic and Partial Differential Equations. Analysis and Computations 6 Journal of Mathematical Analysis and Applications 6 Applied Mathematics and Optimization 6 Journal of Applied Probability 6 Mathematical and Computer Modelling 6 Japan Journal of Industrial and Applied Mathematics 6 Mathematical Finance 6 Modern Stochastics. Theory and Applications 6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 5 Lithuanian Mathematical Journal 5 Physica A 5 Journal of Approximation Theory 5 Mathematics of Operations Research 5 Computational Statistics 5 Communications in Statistics. Simulation and Computation 5 European Journal of Operational Research 5 Theory of Probability and Mathematical Statistics 4 Computers and Fluids 4 Journal of Fluid Mechanics 4 Journal of Econometrics 4 Physica D 4 Journal of Theoretical Probability 4 Communications in Statistics. Theory and Methods 4 Physics of Fluids 4 Statistical Papers 4 Journal of Mathematical Sciences (New York) 4 Journal of Inverse and Ill-Posed Problems 4 Combustion Theory and Modelling 4 Foundations of Computational Mathematics 4 Stochastic Models 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Asia-Pacific Financial Markets 4 Statistical Methods and Applications 4 Stochastics 3 Advances in Applied Probability 3 Computer Methods in Applied Mechanics and Engineering 3 Theory of Probability and its Applications 3 Automatica 3 Operations Research 3 SIAM Journal on Control and Optimization 3 Operations Research Letters 3 Probability Theory and Related Fields 3 Statistical Science 3 Journal of Economic Dynamics & Control 3 Journal de Mathématiques Pures et Appliquées. Neuvième Série 3 Electronic Journal of Probability 3 Abstract and Applied Analysis 3 LMS Journal of Computation and Mathematics 3 Communications in Nonlinear Science and Numerical Simulation 3 Matematicheskoe Modelirovanie 3 Discrete and Continuous Dynamical Systems. Series B 3 Multiscale Modeling & Simulation 3 Computational Management Science 3 Mathematics and Financial Economics 3 Communications in Computational Physics 3 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences 2 Journal of Engineering Mathematics ...and 185 more Journals
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### Cited in 42 Fields

 696 Numerical analysis (65-XX) 658 Probability theory and stochastic processes (60-XX) 226 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 207 Statistics (62-XX) 158 Partial differential equations (35-XX) 86 Statistical mechanics, structure of matter (82-XX) 66 Ordinary differential equations (34-XX) 66 Systems theory; control (93-XX) 64 Fluid mechanics (76-XX) 54 Number theory (11-XX) 49 Operations research, mathematical programming (90-XX) 37 Biology and other natural sciences (92-XX) 35 Computer science (68-XX) 30 Calculus of variations and optimal control; optimization (49-XX) 21 Quantum theory (81-XX) 18 Approximations and expansions (41-XX) 17 Integral equations (45-XX) 15 Dynamical systems and ergodic theory (37-XX) 15 Mechanics of deformable solids (74-XX) 15 Geophysics (86-XX) 13 Information and communication theory, circuits (94-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 9 Special functions (33-XX) 9 Operator theory (47-XX) 8 Combinatorics (05-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 8 Functional analysis (46-XX) 7 Measure and integration (28-XX) 7 Global analysis, analysis on manifolds (58-XX) 7 Classical thermodynamics, heat transfer (80-XX) 4 Convex and discrete geometry (52-XX) 4 Mechanics of particles and systems (70-XX) 4 Optics, electromagnetic theory (78-XX) 3 General and overarching topics; collections (00-XX) 3 Potential theory (31-XX) 2 Real functions (26-XX) 2 Astronomy and astrophysics (85-XX) 1 Nonassociative rings and algebras (17-XX) 1 Group theory and generalizations (20-XX) 1 Difference and functional equations (39-XX) 1 Integral transforms, operational calculus (44-XX) 1 Algebraic topology (55-XX)