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ORCIDMonte Carlo Methods and Applications, Volume 16
Volume 16, Number 1, April 2010
- Christian Bayer
, Anders Szepessy, Raúl Tempone:
Adaptive weak approximation of reflected and stopped diffusions. 1-67 - Edwin Jimenez, Nathan Lay, M. Yousuff Hussaini:
A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation. 69-93
Volume 16, Number 2, July 2010
- Alexander D. Egorov, Karl Sabelfeld:
Approximate formulas for expectations of functionals of solutions to stochastic differential equations. 95-127 - Sergei Prigarin, Andreas Martin, Gerhard Winkler:
Simulation of binary random fields with Gaussian numerical models. 129-142 - Mircea Grigoriu:
A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes. 143-165 - Henning Marxen:
The Multilevel Monte Carlo method used on a Lévy driven SDE. 167-190 - Benjamin Jourdain, Mohamed Karim Sbai:
Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options. 191-193
Volume 16, Numbers 3-4, December 2010
- Alain Dubus, Karl Sabelfeld:
Editiorial. 195 - Stefan C. Agapie, Paula A. Whitlock:
Random packing of hyperspheres and Marsaglia's parking lot test. 197-209 - Rami El Haddad, Christian Lécot, Gopalakrishnan Venkiteswaran:
Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice. 211-230 - Henri Faure, Christiane Lemieux:
Improved Halton sequences and discrepancy bounds. 231-250 - Tiffany A. Lambert, Paula A. Whitlock:
Generalizing Sudoku to three dimensions. 251-263 - Christophe De Luigi, Sylvain Maire:
Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing. 265-282 - Roman N. Makarov, Devin Glew:
Exact simulation of Bessel diffusions. 283-306 - Florian Pausinger, Wolfgang Ch. Schmid:
A good permutation for one-dimensional diaphony. 307-322 - Daniel Rudolf:
Error bounds for computing the expectation by Markov chain Monte Carlo. 323-342 - Karl Sabelfeld, Nadja Loshchina:
Stochastic iterative projection methods for large linear systems. 343-359 - Halis Sak:
Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model. 361-377 - Manan Shah:
A genetic algorithm approach to estimate lower bounds of the star discrepancy. 379-398 - Wolfgang Wagner:
Random and deterministic fragmentation models. 399-420 - Marta Zalewska, Wojciech Niemiro, Boleslaw Samolinski:
MCMC imputation in autologistic model. 421-438
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