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ORCIDMonte Carlo Methods and Applications, Volume 24
Volume 24, Number 1, March 2018
- Peter E. Creasey
, Annika Lang:
Fast generation of isotropic Gaussian random fields on the sphere. 1-11 - Emmanuel Evarest, Fredrik Berntsson, Martin Singull, Xiangfeng Yang:
Weather derivatives pricing using regime switching model. 13-27 - Sema Coskun, Ralf Korn:
Pricing barrier options in the Heston model using the Heath-Platen estimator. 29-41 - Irina A. Shalimova, Karl K. Sabelfeld:
Random walk on spheres method for solving anisotropic drift-diffusion problems. 43-54 - Anthony Le Cavil, Nadia Oudjane, Francesco Russo:
Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. 55-70 - Mariam Elkhechafi, Hanaa Hachimi, Youssfi Elkettani:
A new hybrid cuckoo search and firefly optimization. 71-77
Volume 24, Number 2, June 2018
- Karl K. Sabelfeld, Anastasiya E. Kireeva:
Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging. 79-92 - Nguyet Nguyen, Linlin Xu, Giray Ökten:
A quasi-Monte Carlo implementation of the ziggurat method. 93-99 - Mohamed-Slim Alouini, Nadhir Ben Rached, Abla Kammoun, Raúl Tempone:
On the efficient simulation of the left-tail of the sum of correlated log-normal variates. 101-115 - Baisen Liu, Liangliang Wang, Jiguo Cao:
Bayesian estimation of ordinary differential equation models when the likelihood has multiple local modes. 117-127 - Iryna Rozora, Mariia Lyzhechko:
On the modeling of linear system input stochastic processes with given accuracy and reliability. 129-137 - Sergej M. Ermakov, Svetlana N. Leora:
Remarks on randomization of quasi-random numbers. 139-145 - Ilya M. Sobol, Boris V. Shukhman:
On average dimensions of particle transport estimators. 147-151
Volume 24, Number 3, September 2018
- Jamal Baliti, Mohamed Hssikou, Mohammed Alaoui:
Monte Carlo simulation of nonlinear gravity driven Poiseuille-Couette flow in a dilute gas. 153-163 - Kenza Tamiti, Megdouda Ourbih-Tari, Abdelouhab Aloui, Khelidja Idjis:
The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation. 165-178 - Yuriy Kozachenko, Anatolii Pashko, Olga Vasylyk:
Simulation of generalized fractional Brownian motion in C([0, T]). 179-192 - Karl K. Sabelfeld, Georgy Eremeev:
A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation. 193-202 - Christian Müller, Fabian Weysser, Thomas Mrziglod, Andreas Schuppert:
Markov-Chain Monte-Carlo methods and non-identifiabilities. 203-214 - Abdelkader Bouazza, Abderrahmane Settaouti:
Understanding the contribution of energy and angular distribution in the morphology of thin films using Monte Carlo simulation. 215-224
Volume 24, Number 4, December 2018
- Xavier Warin:
Nesting Monte Carlo for high-dimensional non-linear PDEs. 225 - Mohsine Benabdallah, Kamal Hiderah:
Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero. 249 - Dmitry Kolyukhin:
Global sensitivity analysis for a stochastic flow problem. 263-270 - Toshihiro Yamada, Kenta Yamamoto:
A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. 289-308 - Harold A. Lay, Zane Colgin, Viktor Reshniak, Abdul Q. M. Khaliq:
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters. 309-321 - Nikolai A. Simonov:
Random walk algorithms for elliptic equations and boundary singularities. 323-327
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