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. all top 5 Latest Issues 28, No. 1 (2022) 27, No. 4 (2021) 27, No. 3 (2021) 27, No. 2 (2021) 27, No. 1 (2021) 26, No. 4 (2020) 26, No. 3 (2020) 26, No. 2 (2020) 26, No. 1 (2020) 25, No. 4 (2019) 25, No. 3 (2019) 25, No. 2 (2019) 25, No. 1 (2019) 24, No. 4 (2018) 24, No. 3 (2018) 24, No. 2 (2018) 24, No. 1 (2018) 23, No. 4 (2017) 23, No. 3 (2017) 23, No. 2 (2017) 23, No. 1 (2017) 22, No. 4 (2016) 22, No. 3 (2016) 22, No. 2 (2016) 22, No. 1 (2016) 21, No. 4 (2015) 21, No. 3 (2015) 21, No. 2 (2015) 21, No. 1 (2015) 20, No. 4 (2014) 20, No. 3 (2014) 20, No. 2 (2014) 20, No. 1 (2014) 19, No. 4 (2013) 19, No. 3 (2013) 19, No. 2 (2013) 19, No. 1 (2013) 18, No. 4 (2012) 18, No. 3 (2012) 18, No. 2 (2012) 18, No. 1 (2012) 17, No. 4 (2011) 17, No. 3 (2011) 17, No. 2 (2011) 17, No. 1 (2011) 16, No. 3-4 (2010) 16, No. 2 (2010) 16, No. 1 (2010) 15, No. 4 (2009) 15, No. 3 (2009) 15, No. 2 (2009) 15, No. 1 (2009) 14, No. 4 (2008) 14, No. 3 (2008) 14, No. 2 (2008) 14, No. 1 (2008) 13, No. 5-6 (2007) 13, No. 4 (2007) 13, No. 3 (2007) 13, No. 2 (2007) 13, No. 1 (2007) 12, No. 5-6 (2006) 12, No. 3-4 (2006) 12, No. 2 (2006) 12, No. 1 (2006) 11, No. 4 (2005) 11, No. 3 (2005) 11, No. 2 (2005) 11, No. 1 (2005) 10, No. 3-4 (2004) 10, No. 2 (2004) 10, No. 1 (2004) 9, No. 4 (2003) 9, No. 3 (2003) 9, No. 2 (2003) 9, No. 1 (2003) 8, No. 4 (2002) 8, No. 3 (2002) 8, No. 2 (2002) 8, No. 1 (2002) 7, No. 3-4 (2001) 7, No. 1-2 (2001) 6, No. 4 (2000) 6, No. 3 (2000) 6, No. 2 (2000) 6, No. 1 (2000) 5, No. 4 (1999) 5, No. 3 (1999) 5, No. 2 (1999) 5, No. 1 (1999) 4, No. 4 (1998) 4, No. 3 (1998) 4, No. 2 (1998) 4, No. 1 (1998) 3, No. 4 (1997) 3, No. 3 (1997) 3, No. 2 (1997) 3, No. 1 (1997) 2, No. 4 (1996) 2, No. 3 (1996) ...and 4 more Volumes all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1100.65007Alfonsi, Aurélien 72 2005 The law of the Euler scheme for stochastic differential equations. II: Convergence rate of the density. Zbl 0866.60049Bally, Vlad; Talay, Denis 62 1996 Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012Pagés, Gilles; Printems, Jacques 46 2003 Balanced Milstein methods for ordinary SDEs. Zbl 1105.65009Kahl, Christian; Schurz, Henri 36 2006 Functional quantization for numerics with an application to option pricing. Zbl 1161.91402Pagès, Gilles; Printems, Jacques 29 2005 Adaptative Monte Carlo method, a variance reduction technique. Zbl 1063.65003Arouna, Bouhari 26 2004 On a Monte Carlo scheme for Smoluchowski’s coagulation equation. Zbl 0937.76058Babovsky, Hans 23 1999 A general method for debiasing a Monte Carlo estimator. Zbl 1238.65004McLeish, Don 22 2011 A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên 20 2014 A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny 19 2012 Stable ROW-type weak scheme for stochastic differential equations. Zbl 0841.65146Komori, Yoshio; Mitsui, Taketomo 19 1995 Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007Étoré, Pierre; Martinez, Miguel 18 2013 A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried 18 2014 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 17 2009 Monte Carlo estimators for small sensitivity indices. Zbl 1138.65004Sobol’, I. M.; Myshetskaya, E. E. 17 2007 Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl 16 2014 Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425Bally, Vlad; Caramellino, Lucia; Zanette, Antonino 16 2005 Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265Sabelfeld, Karl K. 16 2016 Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007Sabelfeld, Karl K. 16 2017 Quasi-Monte Carlo methods for numerical integration: Comparison of different low discrepancy sequences. Zbl 0851.65015Radović, Igor; Sobol’, Ilya M.; Tichy, Robert F. 15 1996 Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation. Zbl 0848.65093Sabelfeld, K. K.; Rogasinsky, S. V.; Kolodko, A. A.; Levykin, A. I. 15 1996 Edgeworth type expansions for Euler schemes for stochastic differential equations. Zbl 1028.65005Konakov, Valentin; Mammen, Enno 15 2002 Fast simulation of Gaussian random fields. Zbl 1226.65008Lang, Annika; Potthoff, Jürgen 14 2011 Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016Kawai, Reiichiro; Masuda, Hiroki 14 2011 Upper bounds for Bermudan style derivatives. Zbl 1096.91027Kolodko, A.; Schoenmakers, J. 14 2004 A stochastic quantization method for nonlinear problems. Zbl 1035.65008Bally, Vlad; Pagès, Gilles; Printems, Jacques 14 2001 Stochastic spectral and Fourier-wavelet methods for vector Gaussian random fields. Zbl 1121.65013Kurbanmuradov, O.; Sabelfeld, K. 13 2006 Minimal entropy approximations and optimal algorithms. Zbl 1018.65014Crisan, Dan; Lyons, Terry 13 2002 On the use of low discrepancy sequences in Monte Carlo methods. Zbl 0868.65010Tuffin, Bruno 13 1996 A Monte Carlo approach to the Smoluchowski equations. Zbl 0890.65074Guiaş, Flavius 12 1997 Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi 12 2017 Sparsified randomization algorithms for large systems of linear equations and a new version of the random walk on boundary method. Zbl 1180.65007Sabelfeld, K.; Mozartova, N. 11 2009 On global sensitivity analysis of quasi-Monte Carlo algorithms. Zbl 1072.65004Sobol’, I. M.; Kucherenko, S. S. 11 2005 A partial sampling method applied to the Kusuoka approximation. Zbl 1046.65007Ninomiya, Syoiti 11 2003 Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004Pagès, Gilles 10 2007 The \(\Theta\)-Maruyama scheme for stochastic functional differential equations with distributed memory term. Zbl 1071.65004Buckwar, Evelyn 10 2004 A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications. Zbl 0868.65011Ökten, Giray 10 1996 Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003Kubilius, Kestutis; Platen, Eckhard 10 2002 Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062Lejay, Antoine 10 2003 Stochastic particle methods for Smoluchowski coagulation equation: Variance reduction and error estimations. Zbl 1052.76056Kolodko, A.; Sabelfeld, K. 10 2003 Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef 9 2005 Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055Albrecher, Hansjörg; Kantor, Josef 9 2002 Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi 9 1997 Deviational particle Monte Carlo for the Boltzmann equation. Zbl 1158.82002Wagner, Wolfgang 9 2008 Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236Halidias, Nikolaos 9 2015 Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450Le Bris, Claude; Legoll, Frédéric; Minvielle, William 9 2016 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 9 2018 Exact retrospective Monte Carlo computation of arithmetic average Asian options. Zbl 1192.91178Jourdain, Benjamin; Sbai, Mohamed 8 2007 Stochastic Lagrangian models for two-particle motion in turbulent flows. Zbl 0903.76040Sabelfeld, K. K.; Kurbanmuradov, O. 8 1997 A framework for adaptive Monte Carlo procedures. Zbl 1223.65003Lapeyre, Bernard; Lelong, Jérôme 8 2011 A fractional stochastic evolution equation driven by fractional Brownian motion. Zbl 1049.60056Anh, V. V.; Grecksch, W. 8 2003 Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059Laruelle, Sophie; Pagès, Gilles 7 2012 Towards automatic global error control: Computable weak error expansion for the tau-leap method. Zbl 1241.65006Karlsson, Jesper; Tempone, Raúl 7 2011 Expansion of random boundary excitations for elliptic PDEs. Zbl 1158.60027Sabelfeld, Karl 7 2007 Convergence rate for spherical processes with shifted centres. Zbl 1068.65004Golyandina, N. 7 2004 Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378Lejay, Antoine 7 2004 Direct simulation and mass flow stochastic algorithms to solve a sintering-coagulation equation. Zbl 1076.82028Wells, Clive G.; Kraft, Markus 7 2005 Stochastic Lagrangian models for two-particle motion in turbulent flows. Numerical results. Zbl 0891.76048Kurbanmuradov, O.; Sabelfeld, K.; Koluhin, D. 7 1997 Component-by-component construction of low-discrepancy point sets of small size. Zbl 1156.11030Doerr, Benjamin; Gnewuch, Michael; Kritzer, Peter; Pillichshammer, Friedrich 7 2008 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A. 7 2015 An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. Zbl 1335.60151Dereudre, David; Mazzonetto, Sara; Roelly, Sylvie 7 2016 Monte Carlo difference schemes for the wave equation. Zbl 1002.65005Ermakov, Sergej M.; Wagner, Wolfgang 7 2002 Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180Creasey, Peter E.; Lang, Annika 7 2018 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 7 2018 A parallel algorithm for solving BSDEs. Zbl 1263.65005Labart, Céline; Lelong, Jérôme 6 2013 Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004Leobacher, G. 6 2006 An importance sampling method based on density transformation of Lévy processes. Zbl 1099.65005Kawai, Reiichiro 6 2006 Adaptive weak approximation of reflected and stopped diffusions. Zbl 1196.65029Bayer, Christian; Szepessy, Anders; Tempone, Raúl 6 2010 Pseudo-random number generator by means of irrational rotation. Zbl 0827.65002Sugita, Hiroshi 6 1995 A new optimal Monte Carlo method for calculating integrals of smooth functions. Zbl 0945.65017Atanassov, Emanouil I.; Dimov, Ivan T. 6 1999 Comparison of a stochastic particle method and a finite volume deterministic method applied to Burgers equation. Zbl 0962.65075Bossy, Mireille; Fezoui, Loula; Piperno, Serge 6 1997 Real-time scheme for the volatility estimation in the presence of microstructure noise. Zbl 1151.91529Ogawa, Shigeyoshi 6 2008 Quasi-probability. Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically. Zbl 1161.62307Halton, John H. 6 2005 A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki 6 2014 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 6 2015 Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation. Zbl 1128.65002Kawai, Reiichiro 6 2007 Efficient schemes for the weak approximation of reflected diffusions. Zbl 0986.65002Gobet, Emmanuel 6 2001 Exact simulation of Bessel diffusions. Zbl 1206.65026Makarov, Roman N.; Glew, Devin 6 2010 Stochastic iterative projection methods for large linear systems. Zbl 1206.65135Sabelfeld, Karl; Loshchina, Nadja 6 2010 A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023Belaribi, Nadia; Cuvelier, François; Russo, Francesco 5 2011 Quasi-Monte Carlo algorithms for solving linear algebraic equations. Zbl 1121.65003Ermakov, S. M.; Rukavishnikova, A. 5 2006 On a real-time scheme for the estimation of volatility. Zbl 1219.91160Ogawa, Shigeyoshi; Wakayama, Koji 5 2007 A Taylor space for multivariate integration. Zbl 1103.65007Dick, Josef 5 2006 A best possible upper bound on the star discrepancy of \((t,m,2)\)-nets. Zbl 1103.11022Dick, Josef; Kritzer, Peter 5 2006 Monte Carlo approximations of the Neumann problem. Zbl 1279.65009Maire, Sylvain; Tanré, Etienne 5 2013 Preliminary control variates to improve empirical regression methods. Zbl 1392.62106Ben Zineb, Tarik; Gobet, Emmanuel 5 2013 A central limit theorem for the functional estimation of the spot volatility. Zbl 1182.62167Ngo, Hoang-Long; Ogawa, Shigeyoshi 5 2009 Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. Zbl 1066.65014Egorov, A. D.; Zherelo, A. V. 5 2004 A theoretical view on transforming low-discrepancy sequences from a cube to a simplex. Zbl 1109.65305Pillards, Tim; Cools, Ronald 5 2004 Stochastic flow simulation in 3D porous media. Zbl 1133.76042Kolyukhin, Dmitry; Sabelfeld, Karl 5 2005 Integral formulation of the boundary value problems and the method of random walk on spheres. Zbl 0824.65127Sabelfeld, K. K.; Talay, D. 5 1995 A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445Campillo, Fabien; Lejay, Antoine 5 2002 Construction of two dimensional low discrepancy sequences. Zbl 1038.11045Mori, Makoto 5 2002 Low discrepancy sequences generated by piecewise linear maps. Zbl 0917.11034Mori, Makoto 5 1998 Stochastic Lagrangian models for two-particle relative dispersion in high Reynolds number turbulence. Zbl 0879.76038Kurbanmuradov, O. A. 5 1997 Convergence of a Nanbu type method for the Smoluchowski equation. Zbl 0890.65072Kolodko, Anastasya A.; Wagner, Wolfgang 5 1997 Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. Zbl 0890.65073Sabelfeld, K. K.; Kolodko, A. A. 5 1997 Linear congruential generators for parallel Monte Carlo: The leap-frog case. Zbl 0907.65005Entacher, K.; Uhl, A.; Wegenkittl, S. 5 1998 Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions. Zbl 1338.65007Sabelfeld, Karl K. 5 2016 A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101Naito, Riu; Yamada, Toshihiro 5 2019 On the dependence structure and quality of scrambled \((t,m,s)\)-nets. Zbl 1469.11248Wiart, Jaspar; Lemieux, Christiane; Dong, Gracia Y. 2 2021 Body tail adaptive kernel density estimation for nonnegative heavy-tailed data. Zbl 1467.62059Ziane, Yasmina; Zougab, Nabil; Adjabi, Smail 1 2021 Optimal potential functions for the interacting particle system method. Zbl 1469.65012Chraibi, Hassane; Dutfoy, Anne; Galtier, Thomas; Garnier, Josselin 1 2021 A global random walk on grid algorithm for second order elliptic equations. Zbl 07419515Sabelfeld, Karl K.; Smirnov, Dmitrii 1 2021 Neural network regression for Bermudan option pricing. Zbl 1476.62205Lapeyre, Bernard; Lelong, Jérôme 1 2021 Random walk on ellipsoids method for solving elliptic and parabolic equations. Zbl 1469.65018Shalimova, Irina; Sabelfeld, Karl K. 2 2020 On the density of lines and Santalo’s formula for computing geometric size measures. Zbl 1464.52004El Khaldi, Khaldoun; Saleeby, Elias G. 1 2020 Constructing a confidence interval for the ratio of normal distribution quantiles. Zbl 1466.62316Malekzadeh, Ahad; Mahmoudi, Seyed Mahdi 1 2020 A Bayesian procedure for bandwidth selection in circular kernel density estimation. Zbl 1436.62117Bedouhene, Kahina; Zougab, Nabil 1 2020 Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Zbl 07218633Bourgey, Florian; De Marco, Stefano; Gobet, Emmanuel; Zhou, Alexandre 1 2020 Multilevel Monte Carlo by using the Halton sequence. Zbl 1454.65003Nagy, Shady Ahmed; El-Beltagy, Mohamed A.; Wafa, Mohamed 1 2020 A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101Naito, Riu; Yamada, Toshihiro 5 2019 A random walk on small spheres method for solving transient anisotropic diffusion problems. Zbl 07130560Shalimova, Irina; Sabelfeld, Karl K. 3 2019 A global random walk on spheres algorithm for transient heat equation and some extensions. Zbl 07061111Sabelfeld, Karl K. 3 2019 Geometry entrapment in walk-on-subdomains. Zbl 07165108Hamlin, Preston; Thrasher, W. John; Keyrouz, Walid; Mascagni, Michael 2 2019 Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems. Zbl 1416.65020Sabelfeld, Karl K. 2 2019 On the sample-mean method for computing hyper-volumes. Zbl 1420.52009Rabiei, Nima; Saleeby, Elias G. 2 2019 A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion. Zbl 1425.60062Okano, Yusuke; Yamada, Toshihiro 1 2019 Quasi-Monte Carlo method for solving Fredholm equations. Zbl 07130558Sobol, I. M.; Shukhman, B. V. 1 2019 Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053Pagès, Gilles; Rey, Clément 1 2019 Comparison of Sobol’ sequences in financial applications. Zbl 07061109Harase, Shin 1 2019 An aspect of optimal regression design for LSMC. Zbl 07165104Weiß, Christian; Nikolić, Zoran 1 2019 Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge. Zbl 1432.91138Jang, Hanbyeol; Wang, Jian; Kim, Junseok 1 2019 Particle diffusion Monte Carlo (PDMC). Zbl 1416.65023Zarezadeh, Zakarya; Costantini, Giovanni 1 2019 On solving stochastic differential equations. Zbl 1475.65002Ermakov, Sergej M.; Pogosian, Anna A. 1 2019 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 9 2018 Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180Creasey, Peter E.; Lang, Annika 7 2018 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 7 2018 A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Zbl 1405.60107Yamada, Toshihiro; Yamamoto, Kenta 4 2018 On average dimensions of particle transport estimators. Zbl 06882441Sobol, Ilya M.; Shukhman, Boris V. 3 2018 On the modeling of linear system input stochastic processes with given accuracy and reliability. Zbl 1391.60072Rozora, Iryna; Lyzhechko, Mariia 2 2018 Pricing barrier options in the Heston model using the Heath-Platen estimator. Zbl 1408.91232Coskun, Sema; Korn, Ralf 2 2018 Random walk on spheres method for solving anisotropic drift-diffusion problems. Zbl 1386.65026Shalimova, Irina; Sabelfeld, Karl K. 2 2018 Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging. Zbl 1391.65012Sabelfeld, Karl K.; Kireeva, Anastasiya 1 2018 On the efficient simulation of the left-tail of the sum of correlated log-normal variates. Zbl 1391.65006Alouini, Mohamed-Slim; Ben Rached, Nadhir; Kammoun, Abla; Tempone, Raul 1 2018 Weather derivatives pricing using regime switching model. Zbl 1408.91212Evarest, Emmanuel; Berntsson, Fredrik; Singull, Martin; Yang, Xiangfeng 1 2018 A new hybrid Cuckoo search and firefly optimization. Zbl 1390.90620Elkhechafi, Mariam; Hachimi, Hanaa; Elkettani, Youssfi 1 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 06964429Tamiti, Kenza; Ourbih-Tari, Megdouda; Aloui, Abdelouhab; Idjis, Khelidja 1 2018 Simulation of generalized fractional Brownian motion in \(C([0,T])\). Zbl 1398.60057Kozachenko, Yuriy; Pashko, Anatolii; Vasylyk, Olga 1 2018 A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation. Zbl 06964431Sabelfeld, Karl K.; Eremeev, Georgy 1 2018 Markov-chain Monte-Carlo methods and non-identifiabilities. Zbl 06964432Müller, Christian; Weysser, Fabian; Mrziglod, Thomas; Schuppert, Andreas 1 2018 Global sensitivity analysis for a stochastic flow problem. Zbl 07008423Kolyukhin, Dmitriy 1 2018 Sampling from the \(\mathcal{G}_I^0\) distribution. Zbl 1407.94013Chan, Debora; Rey, Andrea; Gambini, Juliana; Frery, Alejandro C. 1 2018 On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. Zbl 1405.65015Lay, Harold A.; Colgin, Zane; Reshniak, Viktor; Khaliq, Abdul Q. M. 1 2018 Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007Sabelfeld, Karl K. 16 2017 Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi 12 2017 Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles 3 2017 On the tangent model for the density of lines and a Monte Carlo method for computing hypersurface area. Zbl 1360.65071El Khaldi, Khaldoun; Saleeby, Elias G. 2 2017 Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies. Zbl 1395.60043Grigoriu, Mircea 1 2017 HMM with emission process resulting from a special combination of independent Markovian emissions. Zbl 1386.60253Nasroallah, Abdelaziz; Elkimakh, Karima 1 2017 MCMC design-based non-parametric regression for rare event. application to nested risk computations. Zbl 1360.65024Fort, Gersende; Gobet, Emmanuel; Moulines, Eric 1 2017 Invariant density estimation for a reflected diffusion using an Euler scheme. Zbl 1370.60132Cattiaux, Patrick; León, José R.; Prieur, Clémentine 1 2017 Stochastic mesh method for optimal stopping problems. Zbl 1364.65005Kashtanov, Yuri 1 2017 Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265Sabelfeld, Karl K. 16 2016 Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450Le Bris, Claude; Legoll, Frédéric; Minvielle, William 9 2016 An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. Zbl 1335.60151Dereudre, David; Mazzonetto, Sara; Roelly, Sylvie 7 2016 Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions. Zbl 1338.65007Sabelfeld, Karl K. 5 2016 The acceptance-rejection method for low-discrepancy sequences. Zbl 1405.65013Nguyen, Nguyet; Ökten, Giray 3 2016 Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators. Zbl 1344.65013Al Gerbi, Anis; Jourdain, Benjamin; Clément, Emmanuelle 3 2016 Numerical computation for backward doubly SDEs with random terminal time. Zbl 1346.60107Matoussi, Anis; Sabbagh, Wissal 3 2016 Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process. Zbl 1351.60087Benabdallah, Mohsine; Elkettani, Youssfi; Hiderah, Kamal 2 2016 The planar Couette flow with slip and jump boundary conditions in a microchannel. Zbl 1404.76233Hssikou, Mohamed; Baliti, Jamal; Alaoui, Mohammed 2 2016 A search for extensible low-WAFOM point sets. Zbl 1359.65006Harase, Shin 2 2016 Splitting and survival probabilities in stochastic random walk methods and applications. Zbl 1334.65009Sabelfeld, Karl K. 2 2016 On the complexity of binary floating point pseudorandom generation. Zbl 1338.65009Nekrutkin, Vladimir 1 2016 Study and simulation of the sputtering process of material layers in plasma. Zbl 1338.82052Bouazza, Abdelkader; Settaouti, Abderrahmane 1 2016 On the construction of boundary preserving numerical schemes. Zbl 1351.60072Halidias, Nikolaos 1 2016 Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236Halidias, Nikolaos 9 2015 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A. 7 2015 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 6 2015 Optimal switching problems under partial information. Zbl 1327.60034Li, Kai; Nyström, Kaj; Olofsson, Marcus 4 2015 A new numerical scheme for the CIR process. Zbl 1335.60129Halidias, Nikolaos 4 2015 A limit theorem for average dimensions. Zbl 1358.11091Shukhman, Boris V.; Sobol, Ilya M. 3 2015 Bayesian beta regression models. Zbl 1307.62170Cepeda-Cuervo, Edilberto; Garrido, Liliana 3 2015 Stochastic simulation of fluctuation-induced reaction-diffusion kinetics governed by Smoluchowski equations. Zbl 1321.65005Sabelfeld, Karl K.; Levykin, Alexander I.; Kireeva, Anastasiya E. 2 2015 DSMC method for a two-dimensional flow with a gravity field in a square cavity. Zbl 1307.76070Hssikou, Mohamed; Baliti, Jamal; Bouzineb, Yassir; Alaoui, Mohammed 2 2015 The parallel replica method for computing equilibrium averages of Markov chains. Zbl 1329.65005Aristoff, David 2 2015 A class of probabilistic models for the Schrödinger equation. Zbl 1321.35186Wagner, Wolfgang 1 2015 Computing the exit-time for a finite-range symmetric jump process. Zbl 1330.35013Burch, Nathanial; Lehoucq, R. B. 1 2015 Infinite-dimensional Monte Carlo integration. Zbl 1334.65063Pantsulaia, Gogi R. 1 2015 Widening and clustering techniques allowing the use of monotone CFTP algorithm. Zbl 1355.60098Bounnite, Mohamed Yasser; Nasroallah, Abdelaziz 1 2015 A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên 20 2014 A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried 18 2014 Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl 16 2014 A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki 6 2014 Quasi-Monte Carlo: a high-dimensional experiment. Zbl 1305.11066Sobol, Ilya M.; Shukhman, Boris V. 3 2014 Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients. Zbl 1307.65013Shalimova, Irina A.; Sabelfeld, Karl K. 2 2014 An efficient Monte Carlo solution for problems with random matrices. Zbl 1294.82023Grigoriu, Mircea 2 2014 Multilevel Monte Carlo for Asian options and limit theorems. Zbl 1302.91194Ben Alaya, Mohamed; Kebaier, Ahmed 1 2014 Toward a coherent Monte Carlo simulation of CVA. Zbl 1302.91191Abbas-Turki, Lokman A.; Bouselmi, Aych I.; Mikou, Mohammed A. 1 2014 Hybrid Monte Carlo methods in credit risk management. Zbl 1305.65009Del Chicca, Lucia; Larcher, Gerhard 1 2014 The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process. Zbl 1398.60056Kozachenko, Yuriy V.; Sergiienko, Mykola P. 1 2014 Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007Étoré, Pierre; Martinez, Miguel 18 2013 A parallel algorithm for solving BSDEs. Zbl 1263.65005Labart, Céline; Lelong, Jérôme 6 2013 Monte Carlo approximations of the Neumann problem. Zbl 1279.65009Maire, Sylvain; Tanré, Etienne 5 2013 Preliminary control variates to improve empirical regression methods. Zbl 1392.62106Ben Zineb, Tarik; Gobet, Emmanuel 5 2013 Double-barrier first-passage times of jump-diffusion processes. Zbl 1410.91446Fernández, Lexuri; Hieber, Peter; Scherer, Matthias 4 2013 A direct inversion method for non-uniform quasi-random point sequences. Zbl 1271.11081Schretter, Colas; Niederreiter, Harald 3 2013 A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny 19 2012 Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059Laruelle, Sophie; Pagès, Gilles 7 2012 ...and 233 more Documents all cited Publications top 5 cited Publications all top 5 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 all top 5 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 all top 5 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) Citations by Year