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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: 574 Publications (since 1995)
References Indexed: 288 Publications with 4,981 References.
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...and 1 more Volumes
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Authors

56 Sabelfeld, Karl Karlovich
17 Mascagni, Michael V.
11 Sobol’, Il’ya Meerovich
10 Pagès, Gilles
10 Shalimova, Irina A.
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 Grecksch, Wilfried
6 Kolyukhin, Dmitry Romanovich
6 Kozachenko, Yuriĭ Vasyl’ovych
6 Kurbanmuradov, O. A.
6 Simonov, Nikolai A.
5 Egorov, Aleksandr Dmitrievich
5 Gobet, Emmanuel
5 Lejay, Antoine
5 Maire, Sylvain
5 Nadarajah, Saralees
5 Nasroallah, Abdelaziz
5 Ökten, Giray
5 Tempone, Raúl F.
5 Tuffin, Bruno
5 Voytishek, A. V.
5 Yamada, Toshihiro
4 Dimov, Ivan Todor
4 Grigoriu, Mircea D.
4 Halidias, Nikolaos
4 Jourdain, Benjamin
4 Karaivanova, Aneta
4 Kraft, Markus
4 Lécot, Christian
4 Nedjalkov, Mihail
4 Printems, Jacques
4 Saleeby, Elias George
4 Sugita, Hiroshi
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 Kawai, Reiichiro
3 Lang, Annika
3 Lelong, Jérôme
3 Li, Yaohang
3 Panin, M. P.
3 Platen, Eckhard
3 Rogasinsky, Sergey V.
3 Rowe, Daniel B.
3 Sahoo, L. N.
3 Schoenmakers, John G. M.
3 Selberherr, Siegfried
3 Shkarupa, Elena V.
3 Smidts, O. F.
3 Takashima, Keizo
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 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.
2 Frikha, Noufel
2 Fujita, Takahiko
2 Fukuyama, Katusi
2 Gnewuch, Michael
...and 602 more Authors
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Fields

452 Numerical analysis (65-XX)
211 Probability theory and stochastic processes (60-XX)
94 Statistics (62-XX)
69 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
61 Fluid mechanics (76-XX)
59 Statistical mechanics, structure of matter (82-XX)
53 Number theory (11-XX)
47 Partial differential equations (35-XX)
21 Integral equations (45-XX)
21 Computer science (68-XX)
18 Ordinary differential equations (34-XX)
14 Dynamical systems and ergodic theory (37-XX)
13 Biology and other natural sciences (92-XX)
12 Geophysics (86-XX)
11 Quantum theory (81-XX)
11 Systems theory; control (93-XX)
10 Operations research, mathematical programming (90-XX)
8 General and overarching topics; collections (00-XX)
6 Measure and integration (28-XX)
6 Mechanics of deformable solids (74-XX)
5 Calculus of variations and optimal control; optimization (49-XX)
4 Convex and discrete geometry (52-XX)
4 Optics, electromagnetic theory (78-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

Citations contained in zbMATH Open

308 Publications have been cited 1,426 times in 1,089 Documents Cited by Year
On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007
Alfonsi, Aurélien
69
2005
The law of the Euler scheme for stochastic differential equations. II: Convergence rate of the density. Zbl 0866.60049
Bally, Vlad; Talay, Denis
59
1996
Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012
Pagés, Gilles; Printems, Jacques
45
2003
Balanced Milstein methods for ordinary SDEs. Zbl 1105.65009
Kahl, Christian; Schurz, Henri
32
2006
Functional quantization for numerics with an application to option pricing. Zbl 1161.91402
Pagès, Gilles; Printems, Jacques
29
2005
Adaptative Monte Carlo method, a variance reduction technique. Zbl 1063.65003
Arouna, Bouhari
25
2004
On a Monte Carlo scheme for Smoluchowski’s coagulation equation. Zbl 0937.76058
Babovsky, Hans
22
1999
Stable ROW-type weak scheme for stochastic differential equations. Zbl 0841.65146
Komori, Yoshio; Mitsui, Taketomo
19
1995
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007
Étoré, Pierre; Martinez, Miguel
18
2013
A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044
Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried
17
2014
A general method for debiasing a Monte Carlo estimator. Zbl 1238.65004
McLeish, Don
17
2011
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
16
2014
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino
16
2005
Edgeworth type expansions for Euler schemes for stochastic differential equations. Zbl 1028.65005
Konakov, Valentin; Mammen, Enno
15
2002
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.
15
1996
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011
Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl
15
2014
Quasi-Monte Carlo methods for numerical integration: Comparison of different low discrepancy sequences. Zbl 0851.65015
Radović, Igor; Sobol’, Ilya M.; Tichy, Robert F.
14
1996
Upper bounds for Bermudan style derivatives. Zbl 1096.91027
Kolodko, A.; Schoenmakers, J.
14
2004
Monte Carlo estimators for small sensitivity indices. Zbl 1138.65004
Sobol’, I. M.; Myshetskaya, E. E.
14
2007
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
14
2009
A stochastic quantization method for nonlinear problems. Zbl 1035.65008
Bally, Vlad; Pagès, Gilles; Printems, Jacques
13
2001
On the use of low discrepancy sequences in Monte Carlo methods. Zbl 0868.65010
Tuffin, Bruno
13
1996
Stochastic spectral and Fourier-wavelet methods for vector Gaussian random fields. Zbl 1121.65013
Kurbanmuradov, O.; Sabelfeld, K.
13
2006
Minimal entropy approximations and optimal algorithms. Zbl 1018.65014
Crisan, Dan; Lyons, Terry
12
2002
Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265
Sabelfeld, Karl K.
12
2016
A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045
Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny
12
2012
Fast simulation of Gaussian random fields. Zbl 1226.65008
Lang, Annika; Potthoff, Jürgen
12
2011
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016
Kawai, Reiichiro; Masuda, Hiroki
12
2011
A Monte Carlo approach to the Smoluchowski equations. Zbl 0890.65074
Guiaş, Flavius
11
1997
On global sensitivity analysis of quasi-Monte Carlo algorithms. Zbl 1072.65004
Sobol’, I. M.; Kucherenko, S. S.
11
2005
Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007
Sabelfeld, Karl K.
11
2017
A partial sampling method applied to the Kusuoka approximation. Zbl 1046.65007
Ninomiya, Syoiti
10
2003
Stochastic particle methods for Smoluchowski coagulation equation: Variance reduction and error estimations. Zbl 1052.76056
Kolodko, A.; Sabelfeld, K.
10
2003
The \(\Theta\)-Maruyama scheme for stochastic functional differential equations with distributed memory term. Zbl 1071.65004
Buckwar, Evelyn
10
2004
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.
10
2009
Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003
Kubilius, Kestutis; Platen, Eckhard
9
2002
A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications. Zbl 0868.65011
Ökten, Giray
9
1996
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
9
2005
Deviational particle Monte Carlo for the Boltzmann equation. Zbl 1158.82002
Wagner, Wolfgang
9
2008
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
8
2002
Stochastic Lagrangian models for two-particle motion in turbulent flows. Zbl 0903.76040
Sabelfeld, K. K.; Kurbanmuradov, O.
8
1997
A fractional stochastic evolution equation driven by fractional Brownian motion. Zbl 1049.60056
Anh, V. V.; Grecksch, W.
8
2003
Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062
Lejay, Antoine
8
2003
A framework for adaptive Monte Carlo procedures. Zbl 1223.65003
Lapeyre, Bernard; Lelong, Jérôme
8
2011
Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450
Le Bris, Claude; Legoll, Frédéric; Minvielle, William
8
2016
Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004
Pagès, Gilles
8
2007
Exact retrospective Monte Carlo computation of arithmetic average Asian options. Zbl 1192.91178
Jourdain, Benjamin; Sbai, Mohamed
8
2007
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
8
2017
Monte Carlo difference schemes for the wave equation. Zbl 1002.65005
Ermakov, Sergej M.; Wagner, Wolfgang
7
2002
Stochastic Lagrangian models for two-particle motion in turbulent flows. Numerical results. Zbl 0891.76048
Kurbanmuradov, O.; Sabelfeld, K.; Koluhin, D.
7
1997
Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147
Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi
7
1997
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
7
2016
Direct simulation and mass flow stochastic algorithms to solve a sintering-coagulation equation. Zbl 1076.82028
Wells, Clive G.; Kraft, Markus
7
2005
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
7
2018
Towards automatic global error control: Computable weak error expansion for the tau-leap method. Zbl 1241.65006
Karlsson, Jesper; Tempone, Raúl
7
2011
Efficient schemes for the weak approximation of reflected diffusions. Zbl 0986.65002
Gobet, Emmanuel
6
2001
A new optimal Monte Carlo method for calculating integrals of smooth functions. Zbl 0945.65017
Atanassov, Emanouil I.; Dimov, Ivan T.
6
1999
Comparison of a stochastic particle method and a finite volume deterministic method applied to Burgers equation. Zbl 0962.65075
Bossy, Mireille; Fezoui, Loula; Piperno, Serge
6
1997
Adaptive weak approximation of reflected and stopped diffusions. Zbl 1196.65029
Bayer, Christian; Szepessy, Anders; Tempone, Raúl
6
2010
Pseudo-random number generator by means of irrational rotation. Zbl 0827.65002
Sugita, Hiroshi
6
1995
Exact simulation of Bessel diffusions. Zbl 1206.65026
Makarov, Roman N.; Glew, Devin
6
2010
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.
6
2015
A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190
Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki
6
2014
Convergence rate for spherical processes with shifted centres. Zbl 1068.65004
Golyandina, N.
6
2004
Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378
Lejay, Antoine
6
2004
Quasi-probability. Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically. Zbl 1161.62307
Halton, John H.
6
2005
An importance sampling method based on density transformation of Lévy processes. Zbl 1099.65005
Kawai, Reiichiro
6
2006
Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004
Leobacher, G.
6
2006
Expansion of random boundary excitations for elliptic PDEs. Zbl 1158.60027
Sabelfeld, Karl
6
2007
Real-time scheme for the volatility estimation in the presence of microstructure noise. Zbl 1151.91529
Ogawa, Shigeyoshi
6
2008
Component-by-component construction of low-discrepancy point sets of small size. Zbl 1156.11030
Doerr, Benjamin; Gnewuch, Michael; Kritzer, Peter; Pillichshammer, Friedrich
6
2008
Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation. Zbl 1128.65002
Kawai, Reiichiro
6
2007
Low discrepancy sequences generated by piecewise linear maps. Zbl 0917.11034
Mori, Makoto
5
1998
A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445
Campillo, Fabien; Lejay, Antoine
5
2002
Construction of two dimensional low discrepancy sequences. Zbl 1038.11045
Mori, Makoto
5
2002
Stochastic Lagrangian models for two-particle relative dispersion in high Reynolds number turbulence. Zbl 0879.76038
Kurbanmuradov, O. A.
5
1997
Convergence of a Nanbu type method for the Smoluchowski equation. Zbl 0890.65072
Kolodko, Anastasya A.; Wagner, Wolfgang
5
1997
Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. Zbl 0890.65073
Sabelfeld, K. K.; Kolodko, A. A.
5
1997
Integral formulation of the boundary value problems and the method of random walk on spheres. Zbl 0824.65127
Sabelfeld, K. K.; Talay, D.
5
1995
A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023
Belaribi, Nadia; Cuvelier, François; Russo, Francesco
5
2011
Stochastic iterative projection methods for large linear systems. Zbl 1206.65135
Sabelfeld, Karl; Loshchina, Nadja
5
2010
Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236
Halidias, Nikolaos
5
2015
Linear congruential generators for parallel Monte Carlo: The leap-frog case. Zbl 0907.65005
Entacher, K.; Uhl, A.; Wegenkittl, S.
5
1998
Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations. Zbl 1066.65014
Egorov, A. D.; Zherelo, A. V.
5
2004
A theoretical view on transforming low-discrepancy sequences from a cube to a simplex. Zbl 1109.65305
Pillards, Tim; Cools, Ronald
5
2004
Stochastic flow simulation in 3D porous media. Zbl 1133.76042
Kolyukhin, Dmitry; Sabelfeld, Karl
5
2005
A Taylor space for multivariate integration. Zbl 1103.65007
Dick, Josef
5
2006
A best possible upper bound on the star discrepancy of \((t,m,2)\)-nets. Zbl 1103.11022
Dick, Josef; Kritzer, Peter
5
2006
A central limit theorem for the functional estimation of the spot volatility. Zbl 1182.62167
Ngo, Hoang-Long; Ogawa, Shigeyoshi
5
2009
Quasi-Monte Carlo algorithms for solving linear algebraic equations. Zbl 1121.65003
Ermakov, S. M.; Rukavishnikova, A.
5
2006
On a real-time scheme for the estimation of volatility. Zbl 1219.91160
Ogawa, Shigeyoshi; Wakayama, Koji
5
2007
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
5
2012
Monte Carlo approximations of the Neumann problem. Zbl 1279.65009
Maire, Sylvain; Tanré, Etienne
5
2013
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
5
2015
Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180
Creasey, Peter E.; Lang, Annika
5
2018
On the discretization in time of parabolic stochastic partial differential equations. Zbl 1007.65005
Printems, Jacques
4
2001
Discrepancy of sequences generated by piecewise monotone maps. Zbl 0927.11044
Mori, Makoto
4
1999
A direct simulation method for the coagulation-fragmentation equations with multiplicative coagulation kernels. Zbl 0940.65004
Guiaş, Flavius
4
1999
Numerical integration using Markov chains. Zbl 0940.65028
Mathé, Peter
4
1999
Strong approximation of reflecting Brownian motion using penalty method and its application to computer simulation. Zbl 0963.65005
Kanagawa, S.; Saisho, Y.
4
2000
On the density of lines and Santalo’s formula for computing geometric size measures. Zbl 1464.52004
El Khaldi, Khaldoun; Saleeby, Elias G.
1
2020
A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101
Naito, Riu; Yamada, Toshihiro
3
2019
On the sample-mean method for computing hyper-volumes. Zbl 1420.52009
Rabiei, Nima; Saleeby, Elias G.
2
2019
Geometry entrapment in walk-on-subdomains. Zbl 07165108
Hamlin, Preston; Thrasher, W. John; Keyrouz, Walid; Mascagni, Michael
2
2019
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053
Pagès, Gilles; Rey, Clément
1
2019
Comparison of Sobol’ sequences in financial applications. Zbl 07061109
Harase, Shin
1
2019
Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems. Zbl 1416.65020
Sabelfeld, Karl K.
1
2019
On solving stochastic differential equations. Zbl 07088483
Ermakov, Sergej M.; Pogosian, Anna A.
1
2019
An aspect of optimal regression design for LSMC. Zbl 07165104
Weiß, Christian; Nikolić, Zoran
1
2019
Quasi-Monte Carlo method for solving Fredholm equations. Zbl 07130558
Sobol, I. M.; Shukhman, B. V.
1
2019
A random walk on small spheres method for solving transient anisotropic diffusion problems. Zbl 07130560
Shalimova, Irina; Sabelfeld, Karl K.
1
2019
Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421
Warin, Xavier
7
2018
Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180
Creasey, Peter E.; Lang, Annika
5
2018
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Zbl 1405.60107
Yamada, Toshihiro; Yamamoto, Kenta
4
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
4
2018
On average dimensions of particle transport estimators. Zbl 06882441
Sobol, Ilya M.; Shukhman, Boris V.
3
2018
On the modeling of linear system input stochastic processes with given accuracy and reliability. Zbl 1391.60072
Rozora, Iryna; Lyzhechko, Mariia
2
2018
Pricing barrier options in the Heston model using the Heath-Platen estimator. Zbl 1408.91232
Coskun, Sema; Korn, Ralf
2
2018
Random walk on spheres method for solving anisotropic drift-diffusion problems. Zbl 1386.65026
Shalimova, Irina; Sabelfeld, Karl K.
2
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
1
2018
Simulation of generalized fractional Brownian motion in \(C([0,T])\). Zbl 1398.60057
Kozachenko, Yuriy; Pashko, Anatolii; Vasylyk, Olga
1
2018
A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation. Zbl 06964431
Sabelfeld, Karl K.; Eremeev, Georgy
1
2018
Markov-chain Monte-Carlo methods and non-identifiabilities. Zbl 06964432
Müller, Christian; Weysser, Fabian; Mrziglod, Thomas; Schuppert, Andreas
1
2018
Sampling from the \(\mathcal{G}_I^0\) distribution. Zbl 1407.94013
Chan, 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 1405.65015
Lay, 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 1375.65007
Sabelfeld, Karl K.
11
2017
Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi
8
2017
Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025
Giorgi, 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 1360.65071
El Khaldi, Khaldoun; Saleeby, Elias G.
2
2017
Invariant density estimation for a reflected diffusion using an Euler scheme. Zbl 1370.60132
Cattiaux, Patrick; León, José R.; Prieur, Clémentine
1
2017
Stochastic mesh method for optimal stopping problems. Zbl 1364.65005
Kashtanov, Yuri
1
2017
Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies. Zbl 1395.60043
Grigoriu, Mircea
1
2017
MCMC design-based non-parametric regression for rare event. application to nested risk computations. Zbl 1360.65024
Fort, Gersende; Gobet, Emmanuel; Moulines, Eric
1
2017
HMM with emission process resulting from a special combination of independent Markovian emissions. Zbl 1386.60253
Nasroallah, Abdelaziz; Elkimakh, Karima
1
2017
Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265
Sabelfeld, Karl K.
12
2016
Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450
Le Bris, Claude; Legoll, Frédéric; Minvielle, William
8
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
7
2016
The acceptance-rejection method for low-discrepancy sequences. Zbl 1405.65013
Nguyen, Nguyet; Ökten, Giray
3
2016
Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions. Zbl 1338.65007
Sabelfeld, Karl K.
3
2016
Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators. Zbl 1344.65013
Al Gerbi, Anis; Jourdain, Benjamin; Clément, Emmanuelle
3
2016
Numerical computation for backward doubly SDEs with random terminal time. Zbl 1346.60107
Matoussi, Anis; Sabbagh, Wissal
3
2016
Splitting and survival probabilities in stochastic random walk methods and applications. Zbl 1334.65009
Sabelfeld, Karl K.
2
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
2
2016
The planar Couette flow with slip and jump boundary conditions in a microchannel. Zbl 1404.76233
Hssikou, Mohamed; Baliti, Jamal; Alaoui, Mohammed
2
2016
A search for extensible low-WAFOM point sets. Zbl 1359.65006
Harase, Shin
2
2016
On the complexity of binary floating point pseudorandom generation. Zbl 1338.65009
Nekrutkin, Vladimir
1
2016
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.
6
2015
Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236
Halidias, Nikolaos
5
2015
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
5
2015
Optimal switching problems under partial information. Zbl 1327.60034
Li, Kai; Nyström, Kaj; Olofsson, Marcus
4
2015
A limit theorem for average dimensions. Zbl 1358.11091
Shukhman, Boris V.; Sobol, Ilya M.
3
2015
A new numerical scheme for the CIR process. Zbl 1335.60129
Halidias, Nikolaos
3
2015
Bayesian beta regression models. Zbl 1307.62170
Cepeda-Cuervo, Edilberto; Garrido, Liliana
3
2015
The parallel replica method for computing equilibrium averages of Markov chains. Zbl 1329.65005
Aristoff, David
2
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.
2
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
2
2015
Infinite-dimensional Monte Carlo integration. Zbl 1334.65063
Pantsulaia, Gogi R.
1
2015
Widening and clustering techniques allowing the use of monotone CFTP algorithm. Zbl 1355.60098
Bounnite, Mohamed Yasser; Nasroallah, Abdelaziz
1
2015
A class of probabilistic models for the Schrödinger equation. Zbl 1321.35186
Wagner, Wolfgang
1
2015
Computing the exit-time for a finite-range symmetric jump process. Zbl 1330.35013
Burch, Nathanial; Lehoucq, R. B.
1
2015
A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044
Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried
17
2014
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085
Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên
16
2014
Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011
Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl
15
2014
A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190
Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki
6
2014
Quasi-Monte Carlo: a high-dimensional experiment. Zbl 1305.11066
Sobol, Ilya M.; Shukhman, Boris V.
3
2014
An efficient Monte Carlo solution for problems with random matrices. Zbl 1294.82023
Grigoriu, Mircea
2
2014
Stochastic polynomial chaos based algorithm for solving PDEs with random coefficients. Zbl 1307.65013
Shalimova, Irina A.; Sabelfeld, Karl K.
2
2014
The criterion of hypothesis testing on the covariance function of a Gaussian stochastic process. Zbl 1398.60056
Kozachenko, Yuriy V.; Sergiienko, Mykola P.
1
2014
Hybrid Monte Carlo methods in credit risk management. Zbl 1305.65009
Del Chicca, Lucia; Larcher, Gerhard
1
2014
Multilevel Monte Carlo for Asian options and limit theorems. Zbl 1302.91194
Ben Alaya, Mohamed; Kebaier, Ahmed
1
2014
Toward a coherent Monte Carlo simulation of CVA. Zbl 1302.91191
Abbas-Turki, Lokman A.; Bouselmi, Aych I.; Mikou, Mohammed A.
1
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
18
2013
Monte Carlo approximations of the Neumann problem. Zbl 1279.65009
Maire, Sylvain; Tanré, Etienne
5
2013
Double-barrier first-passage times of jump-diffusion processes. Zbl 1410.91446
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias
4
2013
A parallel algorithm for solving BSDEs. Zbl 1263.65005
Labart, Céline; Lelong, Jérôme
4
2013
Preliminary control variates to improve empirical regression methods. Zbl 1392.62106
Ben Zineb, Tarik; Gobet, Emmanuel
3
2013
A direct inversion method for non-uniform quasi-random point sequences. Zbl 1271.11081
Schretter, Colas; Niederreiter, Harald
3
2013
A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045
Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny
12
2012
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
5
2012
Dynamical system generated by algebraic method and low discrepancy sequences. Zbl 1306.37008
Mori, Makoto; Mori, Masaki
2
2012
Improving the Monte Carlo estimation of boundary crossing probabilities by control variables. Zbl 1260.65009
Pötzelberger, Klaus
2
2012
The identification of price jumps. Zbl 1237.91230
Hanousek, Jan; Kočenda, Evžen; Novotný, Jan
1
2012
On the population median estimation using robust extreme ranked set sampling. Zbl 1246.65022
Al-Omari, Amer Ibrahim; Al-Nasser, Amjad D.
1
2012
A Green’s function Monte Carlo algorithm for the Helmholtz equation subject to Neumann and mixed boundary conditions: validation with an 1D benchmark problem. Zbl 1253.65004
Chatterjee, Kausik; Anantapadmanabhan, Akshay
1
2012
A note on Newton’s method for system of stochastic differential equations. Zbl 1264.65008
Habibi, Reza
1
2012
Quantization based recursive importance sampling. Zbl 1272.65004
Frikha, Noufel; Sagna, Abass
1
2012
A general method for debiasing a Monte Carlo estimator. Zbl 1238.65004
McLeish, Don
17
2011
Fast simulation of Gaussian random fields. Zbl 1226.65008
Lang, Annika; Potthoff, Jürgen
12
2011
Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016
Kawai, Reiichiro; Masuda, Hiroki
12
2011
A framework for adaptive Monte Carlo procedures. Zbl 1223.65003
Lapeyre, Bernard; Lelong, Jérôme
8
2011
Towards automatic global error control: Computable weak error expansion for the tau-leap method. Zbl 1241.65006
Karlsson, Jesper; Tempone, Raúl
7
2011
A probabilistic algorithm approximating solutions of a singular PDE of porous media type. Zbl 1452.65023
Belaribi, Nadia; Cuvelier, François; Russo, Francesco
5
2011
Pricing of barrier options by marginal functional quantization. Zbl 1235.91165
Sagna, Abass
3
2011
Simulation of sub-Gaussian processes using wavelets. Zbl 1232.65017
Turchyn, Yevgen V.
3
2011
Diffusion approximation of Lévy processes with a view towards finance. Zbl 1214.60017
Kiessling, Jonas; Tempone, Raúl
2
2011
Probability of large deviations of sums of random processes from Orlicz space. Zbl 1221.65011
Kozachenko, Yu. V.; Mlavets, Yu. Yu.
2
2011
Calibration of financial models using quasi-Monte Carlo. Zbl 1218.91169
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun
1
2011
Adaptive weak approximation of reflected and stopped diffusions. Zbl 1196.65029
Bayer, Christian; Szepessy, Anders; Tempone, Raúl
6
2010
Exact simulation of Bessel diffusions. Zbl 1206.65026
Makarov, Roman N.; Glew, Devin
6
2010
Stochastic iterative projection methods for large linear systems. Zbl 1206.65135
Sabelfeld, Karl; Loshchina, Nadja
5
2010
...and 208 more Documents
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Cited by 1,429 Authors

49 Sabelfeld, Karl Karlovich
40 Pagès, Gilles
18 Kawai, Reiichiro
15 Dimov, Ivan Todor
15 Wagner, Wolfgang
12 Jourdain, Benjamin
12 Maire, Sylvain
12 Sellier, Jean Michel
11 Gobet, Emmanuel
11 Kraft, Markus
11 Ökten, Giray
11 Tempone, Raúl F.
10 Jentzen, Arnulf
10 Lejay, Antoine
10 Pham, Huyên
9 Bossy, Mireille
9 Luschgy, Harald
9 Schoenmakers, John G. M.
9 Shalimova, Irina A.
8 Dereich, Steffen
8 Ermakov, Sergeĭ Mikhaĭlovich
8 Kohatsu-Higa, Arturo
7 Barth, Andrea
7 Kebaier, Ahmed
7 Komori, Yoshio
7 Lelièvre, Tony
7 Mackevičius, Vigirdas
7 Ogawa, Shigeyoshi
7 Talay, Denis
7 Warin, Xavier
6 Alfonsi, Aurélien
6 Bally, Vlad
6 Crisan, Dan O.
6 Gan, Siqing
6 Giles, Michael B.
6 Hosseini, Seyed Mohammad
6 Kozachenko, Yuriĭ Vasyl’ovych
6 Kritzer, Peter
6 L’Ecuyer, Pierre
6 Lelong, Jérôme
6 Lemaire, Vincent
6 Mao, Xuerong
6 McKibben, Mark Anthony
6 Menozzi, Stéphane
6 Russo, Francesco
6 Sagna, Abass
6 Yamada, Toshihiro
5 Barczy, Mátyás
5 Burrage, Kevin
5 Callegaro, Giorgia
5 Caramellino, Lucia
5 Dick, Josef
5 Gnewuch, Michael
5 Konakov, Valentin
5 Lang, Annika
5 Lécot, Christian
5 Mascagni, Michael V.
5 Mori, Makoto
5 Ngo, Hoang-Long
5 Oudjane, Nadia
5 Panloup, Fabien
5 Prieur, Clémentine
5 Ritter, Klaus
5 Sobol’, Il’ya Meerovich
4 Alaya, Mohamed Ben
4 Bandini, Elena
4 Bardou, Olivier
4 Beck, Christian
4 Bender, Christian
4 Bréhier, Charles-Edouard
4 Buckwar, Evelyn
4 Cosso, Andrea
4 De Luigi, Christophe
4 Egorov, Aleksandr Dmitrievich
4 Étoré, Pierre
4 Fiorin, Lucio
4 Frikha, Noufel
4 Fuhrman, Marco
4 Hefter, Mario
4 Heinrich, Stefan
4 Hoel, Hakon A.
4 Jasra, Ajay
4 Kolodko, Anastasya A.
4 Le Bris, Claude
4 Legoll, Frédéric
4 Patterson, Robert I. A.
4 Pichot, Géraldine
4 Pillichshammer, Friedrich
4 Platen, Eckhard
4 Rudolf, Daniel
4 Schwab, Christoph
4 Shkarupa, Elena V.
4 Szpruch, Lukasz
4 Taguchi, Dai
4 Tan, Jianguo
4 Turkedjiev, Plamen
4 Volkov, Vladimir T.
4 Wang, Xiaodi
4 Webster, Micah D.
4 Wells, Clive G.
...and 1,329 more Authors
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Cited in 268 Journals

105 Monte Carlo Methods and Applications
45 Journal of Computational and Applied Mathematics
44 Journal of Computational Physics
40 Stochastic Processes and their Applications
36 The Annals of Applied Probability
25 Mathematics and Computers in Simulation
25 Journal of Complexity
22 Stochastic Analysis and Applications
19 Quantitative Finance
14 BIT
14 Bernoulli
13 Applied Mathematics and Computation
13 Applied Numerical Mathematics
13 Vestnik St. Petersburg University. Mathematics
13 SIAM Journal on Scientific Computing
13 Methodology and Computing in Applied Probability
12 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
9 Finance and Stochastics
9 SIAM/ASA Journal on Uncertainty Quantification
8 Computers & Mathematics with Applications
8 Statistics & Probability Letters
8 Annals of Operations Research
8 Numerical Algorithms
7 Computer Physics Communications
7 Journal of Statistical Physics
7 Journal of Statistical Planning and Inference
7 Numerische Mathematik
7 Insurance Mathematics & Economics
7 Journal of Scientific Computing
7 Journal of Statistical Computation and Simulation
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Applied Mathematical Finance
7 Electronic Journal of Statistics
6 The Annals of Statistics
6 Mathematical and Computer Modelling
6 Applied Mathematical Modelling
6 Mathematical Finance
6 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
6 Statistics and Computing
6 Stochastic and Partial Differential Equations. Analysis and Computations
6 Modern Stochastics. Theory and Applications
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Journal of Mathematical Analysis and Applications
5 Lithuanian Mathematical Journal
5 Applied Mathematics and Optimization
5 Journal of Applied Probability
5 Journal of Approximation Theory
5 Mathematics of Operations Research
5 Applied Mathematics Letters
5 Japan Journal of Industrial and Applied Mathematics
5 Communications in Statistics. Simulation and Computation
5 International Journal of Computer Mathematics
5 Theory of Probability and Mathematical Statistics
5 SIAM Journal on Financial Mathematics
4 Computers and Fluids
4 Journal of Fluid Mechanics
4 Journal of Econometrics
4 Physica D
4 Computational Statistics
4 European Journal of Operational Research
4 Physics of Fluids
4 Journal of Inverse and Ill-Posed Problems
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 Physica A
3 Theory of Probability and its Applications
3 Automatica
3 Operations Research
3 SIAM Journal on Control and Optimization
3 Journal of Economic Dynamics & Control
3 Journal of Theoretical Probability
3 Communications in Statistics. Theory and Methods
3 Journal de Mathématiques Pures et Appliquées. Neuvième Série
3 Journal of Mathematical Sciences (New York)
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
2 Computer Methods in Applied Mechanics and Engineering
2 Physics Reports
2 Transport Theory and Statistical Physics
2 The Annals of Probability
2 Journal of Differential Equations
2 Journal of Functional Analysis
2 Mathematische Nachrichten
2 Monatshefte für Mathematik
2 Operations Research Letters
2 Social Choice and Welfare
...and 168 more Journals
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Cited in 42 Fields

640 Numerical analysis (65-XX)
603 Probability theory and stochastic processes (60-XX)
211 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
180 Statistics (62-XX)
141 Partial differential equations (35-XX)
77 Statistical mechanics, structure of matter (82-XX)
65 Ordinary differential equations (34-XX)
59 Fluid mechanics (76-XX)
59 Systems theory; control (93-XX)
53 Number theory (11-XX)
46 Operations research, mathematical programming (90-XX)
33 Biology and other natural sciences (92-XX)
29 Computer science (68-XX)
26 Calculus of variations and optimal control; optimization (49-XX)
20 Approximations and expansions (41-XX)
20 Quantum theory (81-XX)
16 Integral equations (45-XX)
14 Dynamical systems and ergodic theory (37-XX)
14 Mechanics of deformable solids (74-XX)
13 Geophysics (86-XX)
13 Information and communication theory, circuits (94-XX)
11 Harmonic analysis on Euclidean spaces (42-XX)
8 Measure and integration (28-XX)
8 Special functions (33-XX)
8 Functional analysis (46-XX)
8 Operator theory (47-XX)
7 Combinatorics (05-XX)
7 Linear and multilinear algebra; matrix theory (15-XX)
6 Global analysis, analysis on manifolds (58-XX)
6 Classical thermodynamics, heat transfer (80-XX)
4 Convex and discrete geometry (52-XX)
4 Mechanics of particles and systems (70-XX)
3 Optics, electromagnetic theory (78-XX)
2 Real functions (26-XX)
2 Potential theory (31-XX)
2 Astronomy and astrophysics (85-XX)
1 General and overarching topics; collections (00-XX)
1 Nonassociative rings and algebras (17-XX)
1 Group theory and generalizations (20-XX)
1 Sequences, series, summability (40-XX)
1 Integral transforms, operational calculus (44-XX)
1 Algebraic topology (55-XX)

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