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K. K. Sabelfeld and
D. Talay Integral Formulation of the Boundary
Value Problems and the Method of Random
Walk on Spheres . . . . . . . . . . . . 1--34
Hiroshi Sugita Pseudo-random Number Generator by Means
of Irrational Rotation . . . . . . . . . 35--57
N. A. Simonov Boundary Value Problem and Stochastic
Algorithm for Two-dimensional
Navier--Stokes Equations . . . . . . . . 59--70
Kazuo Amano and
Tomoaki Saito Stochastic Numerical Solution of
Biharmonic Dirichlet Problem . . . . . . 71--82
O. A. Kurbanmuradov A New Lagrangian Model of Two-Particle
Relative Turbulent Dispersion . . . . . 83--100
O. A. Kurbanmuradov and
K. K. Sabel\cprimefel\cprimed Stochastic Lagrangian Models of Relative
Dispersion of a Pair of Fluid Particles
in Turbulent Flows . . . . . . . . . . . 101--136
Nicolas Bouleau The shift: properties and
recommendations for practical use . . . 137--145
Ken Naono Comparative Computations of
Non-parametric Density Estimation
Between Some Kernel Method and the
Wavelet Method . . . . . . . . . . . . . 147--163
Shuya Kanagawa Error Estimations for the
Euler--Maruyama Approximate Solutions of
Stochastic Differential Equations . . . 165--171
N. A. Buglanova and
O. A. Kurbanmuradov Convergence of the randomized spectral
models of homogeneous Gaussian random
fields . . . . . . . . . . . . . . . . . 173--201
M. V. Antipov Congruence operator of the pseudo-random
numbers generator and a modification of
Euclidean decomposition . . . . . . . . 203--219
A. I. Khisamutdinov and
L. L. Sidorenko Monte Carlo fictitious collision
algorithms for nonlinear Boltzmann
equation . . . . . . . . . . . . . . . . 221--240
A. V. Starkov Monte Carlo Splitting Importance
Sampling . . . . . . . . . . . . . . . . 241--250
Stefan Heinrich Variance reduction for Monte Carlo
methods by means of deterministic
numerical computation . . . . . . . . . 251--277
Yoshio Komori and
Taketomo Mitsui Stable ROW-Type Weak Scheme for
Stochastic Differential Equations . . . 279--300
O. A. Kurbanmuradov A $3$D Stochastic Model of Relative
Dispersion of Particle Pairs in
Local-Isotropic Turbulence . . . . . . . 301--324
K. K. Sabelfeld and
I. A. Shalimova Random Walk on Spheres Process for
Exterior Dirichlet Problem . . . . . . . 325--331
Igor Radovi\'c and
Ilya M. Sobol\cprime and
Robert F. Tichy Quasi-Monte Carlo methods for numerical
integration: comparison of different low
discrepancy sequences . . . . . . . . . 1--14
Keizo Takashima On the number of multiples of certain
primitive polynomials over $ {\rm GF}(2)
$ . . . . . . . . . . . . . . . . . . . 15--24
S. V. Rogasinsky On the pair correlations of particle
evolution in the direct statistical
simulation . . . . . . . . . . . . . . . 25--40
K. K. Sabelfeld and
S. V. Rogasinsky and
A. A. Kolodko and
A. I. Levykin Stochastic algorithms for solving
Smolouchovsky coagulation equation and
applications to aerosol growth
simulation . . . . . . . . . . . . . . . 41--87
Anonymous Second International Workshop on
Mathematical Methods in Stochastic
Simulation and Experimental Design . . . 89
Vlad Bally and
Denis Talay The Law of the Euler Scheme for
Stochastic Differential Equations: II.
Convergence Rate of the Density . . . . 93--128
G. C. Sharma and
M. S. Chauhan Preventive maintenance of an $ M^X / G /
1 $ queue-like production system . . . . 129--137
M. S. Chauhan and
G. C. Sharma Profit Analysis of $ M / M / r $
Queueing Model with Balking and Reneging 139--144
Yu. N. Kopylov and
I. S. Postnova and
V. A. Shpack and
G. S. Zinchenko Monte Carlo Modeling of Radioactive
Fallout Under Land-based Nuclear Bursts 145
K. K. Sabelfeld and
T. A. Averina Monte Carlo Simulation of Particle's
Dispersion in Convective Boundary Layer
of the Atmosphere . . . . . . . . . . . 159--169
Anonymous Editorial Board . . . . . . . . . . . . 172
Shigeyoshi Ogawa On a Robustness of The Random Particle
Method . . . . . . . . . . . . . . . . . 175--189
Dimitrije Ugrin-\vSparac A Natural Algorithm for Generation of
Pseudo-Random Numbers and its
Applications . . . . . . . . . . . . . . 191--217
M. V. Antipov Sequences of Numbers for Monte Carlo
Methods . . . . . . . . . . . . . . . . 219--235
L. N. Sahoo and
M. Dalabehera A Monte Carlo comparison of six almost
unbiased ratio estimators . . . . . . . 237--249
Anonymous Editorial Board . . . . . . . . . . . . 251
Giray Ökten A Probabilistic Result on the
Discrepancy of a Hybrid-Monte Carlo
Sequence and Applications . . . . . . . 255--270
Katusi Fukuyama Riesz--Raikov sums and Weyl transform 271--293
Bruno Tuffin On the use of low discrepancy sequences
in Monte Carlo methods . . . . . . . . . 295--320
Yi-Jun Xiao Variation of product function and
numerical solution of some partial
differential equations by
low-discrepancy sequences . . . . . . . 321--330
Keizo Takashima On Hamming weight test and sojourn time
test of $m$-sequences . . . . . . . . . 331--340
Anonymous Editorial Board . . . . . . . . . . . . 343
V. Nekrutkin and
N. Tur Asymptotic expansions and estimators
with small bias for Nanbu processes . . 1--35
O. A. Kurbanmuradov Stochastic Lagrangian Models for
Two-Particle Relative Dispersion in
High-Reynolds Number Turbulence . . . . 37--52
K. K. Sabelfeld and
O. Kurbanmuradov Stochastic Lagrangian Models for
Two-Particle Motion in Turbulent Flows 53--72
L. N. Sahoo and
J. Sahoo On three Unbiased Strategies in Sample
Surveys . . . . . . . . . . . . . . . . 73--81
Shigeyoshi Ogawa Erratum to the article: ``On a
robustness of the random particle
method'' [Monte Carlo Methods Appl. \bf
2 (1996), no. 3, 175--189; MR1414863
(97j:65008)] . . . . . . . . . . . . . . 83
Anonymous Editorial Board . . . . . . . . . . . . 85
A. V. Voytishek Using the Strang--Fix approximation in
discrete-stochastic numerical procedures 89--112
Mireille Bossy and
Loula Fezoui and
Serge Piperno Comparison of a stochastic particle
method and a finite volume deterministic
method applied to Burgers' equation . . 113--140
A. D. Egorov On $ L^2 $-isomorphic Gaussian models
for non-Gaussian distributions . . . . . 141--154
Keizo Takashima Random walk tests of reciprocal
$m$-sequences . . . . . . . . . . . . . 155--166
Anonymous Editorial Board . . . . . . . . . . . . 167
Liming Li and
Jerome Spanier Approximation of Transport Equations by
Matrix Equations and Sequential Sampling 171--198
O. Kurbanmuradov and
K. Sabelfeld and
D. Koluhin Stochastic Lagrangian Models for
Two-Particle Motion in Turbulent Flows.
Numerical Results . . . . . . . . . . . 199--223
Hajime Nakao Exact expression of Lagrangian velocity
autocorrelation function in isotropic
homogeneous turbulence . . . . . . . . . 225--240
N. M. Borisov and
M. P. Panin Adjoint Importance Monte Carlo
Simulation for Gamma Ray Deep
Penetration Problem . . . . . . . . . . 241--250
Anonymous Editorial Board . . . . . . . . . . . . 251
Anastasya A. Kolodko and
Wolfgang Wagner Convergence of a Nanbu type method for
the Smoluchowski equation . . . . . . . 255--273
K. K. Sabelfeld and
A. A. Kolodko Monte Carlo simulation of the
coagulation processes governed by
Smoluchowski equation with random
coefficients . . . . . . . . . . . . . . 275--311
Flavius Guia\cs A Monte Carlo approach to the
Smoluchowski equations . . . . . . . . . 313--326
Arturo Kohatsu-Higa and
Shigeyoshi Ogawa Weak rate of convergence for an Euler
scheme of nonlinear SDE's . . . . . . . 327--345
Anonymous Editorial Board . . . . . . . . . . . . 347
K. Entacher and
A. Uhl and
S. Wegenkittl Linear congruential generators for
parallel Monte Carlo: the leap-frog case 1--15
N. A. Likhoded Systolic Arrays for the Solution of
Systems of Linear Algebraic Equations by
Monte Carlo Method . . . . . . . . . . . 17--32
Ivan Dimov and
Aneta Karaivanova Parallel computations of eigenvalues
based on a Monte Carlo approach . . . . 33--52
M. Yu. Plotnikov and
E. V. Shkarupa Error estimation and optimization in
$C$-space of Monte Carlo iterative
solution of nonlinear integral equations 53--71
A. V. Voytishek Rejection methods for modelling of
beta-distribution . . . . . . . . . . . 73--85
Bruno Tuffin Comments on: ``On the use of low
discrepancy sequences in Monte Carlo
methods'' [Monte Carlo Methods Appl. \bf
2 (1996), no. 4, 295--320; MR1434423
(97m:65018)] . . . . . . . . . . . . . . 87--90
Anonymous Editorial Board . . . . . . . . . . . . 91
C. Papadopoulos A New Technique for MTTF Estimation in
Highly Reliable Markovian Systems . . . 95--111
Hajime Nakao Time Dependence of Eulerian Velocity
Correlation Tensor Spectrum in Isotropic
Homogeneous Turbulence . . . . . . . . . 113--125
K. Sabelfeld and
O. Kurbanmuradov One-Particle Stochastic Lagrangian Model
for Turbulent Dispersion in Horizontally
Homogeneous Turbulence . . . . . . . . . 127--140
Makoto Mori Low discrepancy sequences generated by
piecewise linear Maps . . . . . . . . . 141--162
G. Hordósy and
A. Keresztúri and
Cs. Hegedûs and
P. Vértes Influence of the Photoneutrons on the
Kinetics of Beryllium Reflected Core of
the Budapest Research Reactor . . . . . 163--176
Anonymous Editorial Board . . . . . . . . . . . . 177
H. Arsham Techniques for Monte Carlo Optimizing 181--229
Wolfgang Dreyer and
Matthias Kunik Reflections of Eulerian Shock Waves at
Moving Adiabatic Boundaries . . . . . . 231--252
W. Dreyer and
M. Kunik and
K. Sabelfeld and
N. Simonov and
K. Wilmanski Iterative procedure for multidimensional
Euler equations . . . . . . . . . . . . 253--271
N. M. Borisov and
M. P. Panin Adjoint Monte Carlo Calculations of
Pulse-Height-Spectrum . . . . . . . . . 273--284
Anonymous Editorial Board . . . . . . . . . . . . 285
O. F. Smidts Point and surface estimations by a
non-analog Monte Carlo simulation for
the transport of radionuclide chains in
porous media . . . . . . . . . . . . . . 289--318
Thomas Pohl and
Wilfried Grecksch and
Holger Blaar A Parallel Modified Lagrangian Method
for an Optimal Control Problem of a
Linear Distributed Stochastic System . . 319--340
N. M. Borisov and
M. P. Panin Generalized Particle Concept for Adjoint
Monte Carlo Calculations of Coupled
Gamma Ray--Electron Transport . . . . . 341--357
M. Marseguerra and
E. Zio Weight updating in forced Monte Carlo
approach to dynamic PSA . . . . . . . . 359--373
Anonymous Editorial Board . . . . . . . . . . . . 375
Hans Babovsky On a Monte Carlo scheme for
Smoluchowski's coagulation equation . . 1--18
Paul Fischer and
Eckhard Platen Applications of the balanced method to
stochastic differential equations in
filtering . . . . . . . . . . . . . . . 19--38
P. S. Rouzankin and
A. V. Voytishek On the cost of algorithms for random
selection . . . . . . . . . . . . . . . 39--54
Makoto Mori Discrepancy of sequences generated by
piecewise monotone maps . . . . . . . . 55--68
C. Ongaro and
U. Nastasi and
A. Zanini Monte Carlo Simulation of the
photo-neutron production in the high-$Z$
components of radiotherapy linear
accelerators . . . . . . . . . . . . . . 69--79
Anonymous Editorial Board . . . . . . . . . . . . 81
O. Kurbanmuradov and
U. Rannik and
K. Sabelfeld and
T. Vesala Direct and Adjoint Monte Carlo
Algorithms for the Footprint Problem . . 85--111
I. M. Sobol and
B. V. Shukhman and
A. Guinzbourg On the distribution of random ranges . . 113--134
H. Rief Touching on a zero-variance scheme in
solving linear equations by random walk
processes . . . . . . . . . . . . . . . 135--148
Emanouil I. Atanassov and
Ivan T. Dimov A new optimal Monte Carlo method for
calculating integrals of smooth
functions . . . . . . . . . . . . . . . 149--167
R. L. Perel and
J. J. Wagschal and
Y. Yeivin Monte Carlo calculation of deep
penetration benchmark sensitivities . . 169--187
Anonymous Editorial Board . . . . . . . . . . . . 189
N. Golyandina and
V. Nekrutkin Homogeneous Balance Equations for
Measures: Errors of the Stochastic
Solution . . . . . . . . . . . . . . . . 193--261
S. V. Rogasinsky Solution of stationary boundary value
problems for the Boltzmann equation by
the Monte Carlo method . . . . . . . . . 263--280
Anonymous International Conference on Monte Carlo
and Probabilistic Methods for Partial
Differential Equations July, 3--5, 2000
/ Monaco, First Announcement . . . . . . 281--282
Anonymous Editorial Board . . . . . . . . . . . . 283
Flavius Guia\cs A Direct Simulation Method for the
Coagulation--Fragmentation. Equations
with Multiplicative Coagulation Kernels 287--309
W. Grecksch and
V. V. Anh Approximation of stochastic Hammerstein
integral equation with fractional
Brownian motion input . . . . . . . . . 311--323
Peter Mathé Numerical Integration using Markov
Chains . . . . . . . . . . . . . . . . . 325--343
Michael Khazen and
Arie Dubi A note on variance reduction methods in
Monte Carlo applications to systems
engineering and reliability . . . . . . 345--374
Anonymous Editorial Board . . . . . . . . . . . . 375
Erika Hausenblas Monte Carlo Simulation of Reflected
Stochastic Differential Equations driven
by Poisson Random Measures . . . . . . . 1--14
I. V. Meglinsky and
S. J. Matcher The application of the Monte Carlo
technique for estimation of the detector
depth sensitivity for the skin
oxygenation measurements . . . . . . . . 15--25
Hiroshi Sugita and
Satoshi Takanobu Random Weyl sampling for robust
numerical integration of complicated
functions . . . . . . . . . . . . . . . 27--48
K. Takashima Hybrid pseudo-random number generation 49--59
Hirotake Yaguchi Randomness of Horner's rule and a new
method of generating random numbers . . 61--76
Anonymous Editorial Board . . . . . . . . . . . . 77
Erika Hausenblas A Numerical Scheme using Excursion
Theory for Simulating Stochastic
Differential Equations with Reflection
and Local Time at a Boundary . . . . . . 81--103
S. Kanagawa and
Y. Saisho Strong Approximation of Reflecting
Brownian Motion Using Penalty Method and
its Application to Computer Simulation 105--114
Stefan V. Stefanescu Generating uniform random points inside
a cone . . . . . . . . . . . . . . . . . 115--130
A. V. Voytishek and
E. G. Dyatlova and
T. E. Mezentseva Geometrical Monte Carlo method and its
modifications . . . . . . . . . . . . . 131--139
B. A. Zalesky Stochastic relaxation for building some
classes of piecewise linear regression
functions . . . . . . . . . . . . . . . 141--157
Anonymous Monte Carlo 2000: International
Conference on Monte Carlo and
Probabilistic Methods for Partial
Differential Equations, Monte Carlo
(Monaco): July 3--5, 2000 . . . . . . . 159
Anonymous Editorial Board . . . . . . . . . . . . 163
Katusi Fukuyama and
Tetsuo Tomokuni On pseudorandom functions and asymptotic
distributions . . . . . . . . . . . . . 167--174
W. Grecksch and
F. Heyde and
Chr. Tammer Proximal Point Algorithm for an
Approximated Stochastic Optimal Control
Problem . . . . . . . . . . . . . . . . 175--189
Leonid Pletnev Monte Carlo Simulation of Evaporation
Process into the Vacuum . . . . . . . . 191--203
Daniel B. Rowe Factorization of Separable and Patterned
Covariance Matrices for Gibbs Sampling 205--210
K. Sabelfeld and
O. Kurbanmuradov Coagulation of aerosol particles in
intermittent turbulent flows . . . . . . 211--253
Anonymous 3rd IMACS Seminar on Monte Carlo Methods
(MCM2001: First Announcement) . . . . . 255
Anonymous Fourth St. Petersburg Workshop on
Simulation . . . . . . . . . . . . . . . 257
Anonymous Editorial Board . . . . . . . . . . . . 259
Erika Hausenblas Monte Carlo simulation of killed
diffusion . . . . . . . . . . . . . . . 263--295
Vladimir M. Ivanov and
Maxim L. Korenevski On convergence of semi-statistical and
projection-statistical methods for
integral equations . . . . . . . . . . . 297--322
A. I. Khisamutdinov On connection between ``continuous
time'' and ``direct simulation'' Monte
Carlo methods for Boltzmann equation and
on some new approximate methods . . . . 323--340
S. A. Uhinov and
A. V. Voytishek Usage of the importance sample in Monte
Carlo methods . . . . . . . . . . . . . 341--348
Anonymous Workshop: Stochastic Models for
Turbulent Transport Processes, WIAS,
Berlin, 23--25 October 2000. The
Abstracts . . . . . . . . . . . . . . . 349
Anonymous Editorial Board . . . . . . . . . . . . 361
Christophe Andrieu and
Arnaud Doucet Optimal Estimation of Amplitude and
Phase Modulated Signals . . . . . . . . 1--14
Khaled Bahlali and
Brahim Mezerdi and
Youssef Ouknine Some generic properties in backward
stochastic differential equations with
continuous coefficient . . . . . . . . . 15--19
Vlad Bally and
Gilles Pag\`es and
Jacques Printems A stochastic quantization method for
nonlinear problems . . . . . . . . . . . 21--33
Pierre Bernard and
Gérard Fleury Convergence of Numerical Schemes for
Stochastic Differential Equations . . . 35--44
Mireille Bossy and
Benjamin Jourdain A stochastic particle method for the
solution of a $1$D viscous scalar
conservation law in a bounded interval 45--53
A. de Bouard and
A. Debussche and
L. Di Menza Theoretical and numerical aspects of
stochastic nonlinear Schrödinger
equations . . . . . . . . . . . . . . . 55--63
Fabien Campillo and
Antoine Lejay A Monte Carlo method to compute the
exchange coefficient in the double
porosity model . . . . . . . . . . . . . 65--72
Mark Braverman and
Shay Gueron A Monte Carlo Algorithm for a Lottery
Problem . . . . . . . . . . . . . . . . 73--79
Olivier Cappé Recursive computation of smoothed
functionals of hidden Markovian
processes using a particle approximation 81--92
Emmanuel Cépa and
Dominique Lépingle Interacting Brownian particles with
strong repulsion . . . . . . . . . . . . 93--98
Alexandre J. Chorin and
Ole H. Hald and
Raz Kupferman Non-Markovian Optimal Prediction . . . . 99--109
Bent Jesper Christensen and
Rolf Poulsen Monte Carlo Improvement of Estimates of
the Mean-Reverting Constant Elasticity
of Variance Interest Rate Diffusion . . 111--123
Henri Comman A view on Noncommutative Large
Deviations from a theory of
Noncommutative Capacities . . . . . . . 125--129
C. Costantini A SIMPLE VARIANCE REDUCTION METHOD WITH
APPLICATIONS TO FINANCE AND QUEUEING
THEORY . . . . . . . . . . . . . . . . . 131--139
Madalina Deaconu and
Etienne Tanré A generalization of the Connection
Between the Additive and Multiplicative
Solutions for the Smoluchowski's
Coagulation Equation . . . . . . . . . . 141--147
Xavier Descombes and
Radu Stoica and
Laurent Garcin and
Josiane Zerubia A RJMCMC Algorithm for Object Processes
in Image Processing . . . . . . . . . . 149--156
Andreas Eibeck and
Wolfgang Wagner Stochastic algorithms for studying
coagulation dynamics and gelation
phenomena . . . . . . . . . . . . . . . 157--165
A. Figotin and
A. Gordon and
S. Molchanov and
J. Quinn and
N. Stavrakas Generalized Quantum Statistics and
Testing of Randomizers with and without
Asymptotic Assumptions . . . . . . . . . 167--175
Nicolas Fournier and
Sylvie Méléard Monte-Carlo approximations for $2$D
homogeneous Boltzmann equations without
cutoff and for non Maxwell molecules . . 177--192
Emmanuel Gobet Efficient schemes for the weak
approximation of reflected diffusions 193--202
Shay Gueron and
Or Zuk On Smoluchowski Equations for
Coagulation Processes with Multiple
Absorbing States . . . . . . . . . . . . 203--211
Anonymous Editorial Board . . . . . . . . . . . . 213
Chi-Ok Hwang and
Michael Mascagni and
James A. Given Rapid Diffusion Monte Carlo Algorithms
for Fluid Dynamic Permeability . . . . . 213--222
A. A. Kolodko and
K. K. Sabelfeld Stochastic Lagrangian model for
spatially inhomogeneous Smoluchowski
equation governing coagulating and
diffusing particles . . . . . . . . . . 223--228
Peter R. Kramer A Review of Some Monte Carlo Simulation
Methods for Turbulent Systems . . . . . 229--243
O. A. Kurbanmuradov and
S. A. Orszag and
K. K. Sabelfeld and
P. K. Yeung Analysis of relative dispersion of two
particles by Lagrangian stochastic
models and DNS methods . . . . . . . . . 245--263
Antoine Lejay Weak solution of semi-linear PDE, BSDE
and homogenization . . . . . . . . . . . 265--272
Stéphane Lesage and
Jean-Yves Tourneret and
Petar M. Djuri\'c Classification of Digital Modulations
Using MCMC Methods . . . . . . . . . . . 273--282
Michael Mascagni and
Aneta Karaivanova and
Yaohang Li A Quasi-Monte Carlo Method for Elliptic
Boundary Value Problems . . . . . . . . 283--293
Jean-Pierre Minier Probabilistic approach to turbulent
two-phase flows modelling and
simulation: theoretical and numerical
issues . . . . . . . . . . . . . . . . . 295--310
Nigel J. Newton Approximations for Nonlinear Filters
based on Quantisation . . . . . . . . . 311--320
Shigeyoshi Ogawa On a class of SPDEs called Brownian
particle equation --- Model for
nonlinear diffusions . . . . . . . . . . 321--328
Stefano Olla Diffusive Behavior of Interacting
Particle Systems . . . . . . . . . . . . 329--338
Hirofumi Osada Tagged particles of interacting Brownian
motions with skew symmetric drifts . . . 339--348
Lorenzo Pareschi and
Bernt Wennberg A recursive Monte Carlo method for the
Boltzmann equation in the Maxwellian
case . . . . . . . . . . . . . . . . . . 349--357
Jacques Printems On the discretization in time of
parabolic stochastic partial
differential equations . . . . . . . . . 359--368
K. Sabelfeld and
I. Shalimova Forward and Backward Stochastic
Lagrangian Models for turbulent
transport and the well-mixed condition 369--381
R. Sentis Monte Carlo methods in neutron and
photon transport problems . . . . . . . 383--395
E. Tinet and
J. M. Tualle and
D. Ettori and
S. Avrillier Real time transformation of pre-computed
Monte Carlo results for fitting optical
measurements in biomedical applications 397--409
Volker Wihstutz Communication structure of discretized
degenerate diffusion processes and
approximation of Lyapunov exponents . . 411--419
Anonymous Editorial Board . . . . . . . . . . . . 421
Sergej M. Ermakov and
Wolfgang Wagner Monte Carlo difference schemes for the
wave equation . . . . . . . . . . . . . 1--29
David J. Horntrop Monte Carlo Simulation of a Random Field
Model for Transport . . . . . . . . . . 31--49
Tuomas J. Lukka and
Janne V. Kujala Using Genetic Operators to Speed up
Markov Chain Monte Carlo Integration . . 51--71
John Bonvin and
Marco Picasso Mesoscopic Models for Viscoelastic
flows: Coupling Finite Element and Monte
Carlo Methods . . . . . . . . . . . . . 73--81
Kestutis Kubilius and
Eckhard Platen Rate of Weak Convergence of the Euler
Approximation for Diffusion Processes
with Jumps . . . . . . . . . . . . . . . 83--96
Yi-Jun Xiao Some geometric properties of $ (0, m,
2)$-nets in base $ b \geq 2$ . . . . . . 97--106
Anonymous Editorial Board . . . . . . . . . . . . 107
Hansjörg Albrecher and
Josef Kantor Simulation of ruin probabilities for
risk processes of Markovian type . . . . 111--127
Fabien Campillo and
Antoine Lejay A Monte Carlo method without grid for a
fractured porous domain model . . . . . 129--147
Takahiko Fujita and
Shunji Ito and
Syoiti Ninomiya The generalized van der Corput sequence
and its application to numerical
integration . . . . . . . . . . . . . . 149--158
Makoto Mori Construction of two dimensional low
discrepancy sequences . . . . . . . . . 159--169
Karl K. Sabelfeld and
Irina A. Shalimova Random Walk on Spheres methods for
iterative solution of elasticity
problems . . . . . . . . . . . . . . . . 171--202
Hirotake Yaguchi Construction of a long-period
nonalgebraic and nonrecursive
pseudorandom number generator . . . . . 203--213
Anonymous MCM2003: IV IMACS Monte Carlo Seminar
WIAS, Berlin, 15--19 September 2003 . . 215
Anonymous Editorial Board . . . . . . . . . . . . 217
Lucia Caramellino and
Barbara Pacchiarotti Sharp estimates for the hitting
probability on time-dependent barriers
for a Brownian Motion. Weak
approximation of a Brownian motion
killed on time-dependent barriers . . . 221--236
Jean-Claude Fort and
Gilles Pag\`es Decreasing step Stochastic algorithms:
a.s. behaviour of weighted empirical
measures . . . . . . . . . . . . . . . . 237--270
Valentin Konakov and
Enno Mammen Edgeworth type expansions for Euler
schemes for stochastic differential
equations . . . . . . . . . . . . . . . 271--285
Vadim Moskvin and
Lech Papiez Method of trajectory rotation as a Monte
Carlo variance reduction technique . . . 287--298
V. Nekrutkin and
K. Romkin Propagation of chaos for Kac particle
Systems . . . . . . . . . . . . . . . . 299--315
Anonymous Editorial Board . . . . . . . . . . . . 317
Héctor Cancela and
Gerardo Rubino and
Bruno Tuffin MTTF Estimation using importance
sampling on Markov models . . . . . . . 321--341
Dan Crisan and
Terry Lyons Minimal Entropy Approximations and
Optimal Algorithms . . . . . . . . . . . 343--355
J. P. Heritage and
L. C. G. Rogers Large Investors, takeovers, and the rule
of law . . . . . . . . . . . . . . . . . 357--370
Markus Kraft and
Wolfgang Wagner An efficient stochastic chemistry
approximation for the PDF transport
equation . . . . . . . . . . . . . . . . 371--394
Daniel B. Rowe Jointly Distributed Mean and Mixing
Coefficients for Bayesian Source
Separation using MCMC and ICM . . . . . 395--403
Evgeni Zapadinsky and
Liisa Pirjola and
Markku Kulmala Effect of Cross-correlated Fluctuations
on the Aerosol Dynamics: Monte Carlo
Simulations . . . . . . . . . . . . . . 405--419
Anonymous Editorial Board . . . . . . . . . . . . 421
N. Golyandina Central Limit Theorem for $ (n,
k)$-particle processes solving balance
equations . . . . . . . . . . . . . . . 1--11
V. Nekrutkin Kac particle systems with free motion
and equations of Boltzmann type . . . . 13--25
Syoiti Ninomiya A partial sampling method applied to the
Kusuoka approximation . . . . . . . . . 27--38
Shuhei Ogihara and
Shigeyoshi Ogawa On a discrete stochastic approximation
and its application to data analysis . . 39--50
Karl Sabelfeld and
Elena Shkarupa Functional Random Walk on Spheres
algorithm for biharmonic equation:
optimization and error estimation . . . 51--65
I. M. Sobol and
E. E. Myshetskaya Modelling correlated random variables 67--76
V. V. Shvets On asymptotic behaviour of modelling
time in the importance sampling method 77--85
Anonymous IVth IMACS Seminar on Monte Carlo
Methods . . . . . . . . . . . . . . . . 87
Jean-Pierre Minier and
Eric Peirano and
Sergio Chibbaro Weak first- and second-order numerical
schemes for stochastic differential
equations appearing in Lagrangian
two-phase flow modeling . . . . . . . . 93--133
Gilles Pag\`es and
Jacques Printems Optimal quadratic quantization for
numerics: the Gaussian case . . . . . . 135--165
O. Kurbanmuradov and
A. Levykin and
U. Rannik and
K. Sabelfeld and
T. Vesala Stochastic Lagrangian footprint
calculations over a surface with an
abrupt change of roughness height . . . 167--188
V. V. Anh and
W. Grecksch A fractional stochastic evolution
equation driven by fractional Brownian
motion . . . . . . . . . . . . . . . . . 189--199
Imad A. Barghouthi and
Naji A. Qatanani and
Fathi M. Allan Monte Carlo Simulation of Boltzmann
Equation in Space Plasma at High
Latitudes . . . . . . . . . . . . . . . 201--216
Scott D. Button Project duration prediction using a
Monte Carlo simulation of the periodic
output of the project resources . . . . 217--225
Gerhard Larcher and
Martin Predota and
Robert F. Tichy Arithmetic average options in the
hyperbolic model . . . . . . . . . . . . 227--239
Antoine Lejay Simulating a diffusion on a graph.
Application to reservoir engineering . . 241--255
Panagiotis Mantalos Bootstrapping the Breusch--Godfrey
autocorrelation test for a single
equation dynamic model: Bootstrapping
the Restricted vs. Unrestricted model 257--269
Karl Sabelfeld and
Dmitry Kolyukhin Stochastic Eulerian model for the flow
simulation in porous media . . . . . . . 271--290
Anonymous Editorial Board . . . . . . . . . . . . 291
Jiu Ding and
Dong Mao and
Aihui Zhou A Quasi Monte Carlo Approach to
Piecewise Linear Markov Approximations
of Markov Operators . . . . . . . . . . 295--306
A. D. Egorov and
V. B. Malyutin Approximate evaluation of a class of
functional integrals over space of
functions taking values $ \pm 1 $ . . . 307--314
A. Kolodko and
K. Sabelfeld Stochastic particle methods for
Smoluchowski coagulation equation:
variance reduction and error estimations 315--339
O. Kurbanmuradov and
K. Sabelfeld and
O. F. Smidts and
H. Vereecken A Lagrangian Stochastic Model for the
Transport in Statistically Homogeneous
Porous Media . . . . . . . . . . . . . . 341--366
Daniel B. Rowe Significant FMRI neurologic synchrony
using Monte Carlo methods . . . . . . . 367--385
Bouhari Arouna Adaptative Monte Carlo Method, a
Variance Reduction Technique . . . . . . 1--24
Benjamin Seibold Optimal Prediction in Molecular Dynamics 25--50
Jean-Luc Akian and
Bénédicte Puig Some results of error evaluation for a
non-Gaussian simulation method . . . . . 51--68
Bénédicte Puig and
Fabrice Poirion White noise and simulation of ordinary
Gaussian processes . . . . . . . . . . . 69--89
Nicolas Fournier and
Jean-Sébastien Giet Exact simulation of nonlinear
coagulation processes . . . . . . . . . 95--106
Yuko Ichikawa and
Makoto Mori Discrepancy of van der Corput sequences
generated by piecewise linear
transformations . . . . . . . . . . . . 107--116
Michael Khazen and
Arie Dubi Monte Carlo variance reduction in
applications to Systems Reliability
using Phase Space Splitting . . . . . . 117--128
Dominique Lepingle and
Thi Thao Nguyen Approximating and Simulating Multivalued
Stochastic Differential Equations . . . 129--152
N. Suciu and
C. Vamo\cs and
H. Hardelauf and
J. Vanderborght and
H. Vereecken Numerical Modeling of Large Scale
Transport of Contaminant Solutes Using
the Global Random Walk Algorithm . . . . 153--177
Anonymous Editorial Board . . . . . . . . . . . . 179
Karl Sabelfeld Foreword: [Selection of papers presented
at the IV IMACS Seminar on Monte Carlo
methods] . . . . . . . . . . . . . . . . 181--182
John H. Halton An outline of quasi-probability: Why
quasi-Monte-Carlo methods are
statistically valid and how their errors
can be estimated statistically . . . . . 183--196
Hansjörg Albrecher and
Jürgen Hartinger and
Robert F. Tichy QMC techniques for CAT bond pricing . . 197--211
V. Alexandrov and
E. Atanassov and
I. Dimov Parallel Quasi-Monte Carlo Methods for
Linear Algebra Problems . . . . . . . . 213--219
T. A. Averina Algorithm of statistical simulation of
dynamic systems with distributed change
of structure . . . . . . . . . . . . . . 221--226
J. Branlard and
S. Aboud and
P. Osuch and
S. Goodnick and
M. Saraniti Frequency Analysis of Semiconductor
Devices Using Full-Band Cellular Monte
Carlo Simulations . . . . . . . . . . . 227--233
Evelyn Buckwar The $ \Theta $-Maruyama scheme for
stochastic functional differential
equations with distributed memory term 235--244
Emilio Castronovo and
Peter R. Kramer Subdiffusion and Superdiffusion in
Lagrangian Stochastic Models of Oceanic
Transport . . . . . . . . . . . . . . . 245--256
A. D. Egorov and
A. V. Zherelo Approximations of functional integrals
with respect to measures generated by
solutions of stochastic differential
equations . . . . . . . . . . . . . . . 257--264
Karl Entacher and
Gerold Laimer and
Harald Röck and
Andreas Uhl Normalization of the Spectral Test in
High Dimensions . . . . . . . . . . . . 265--274
Emmanuel Gobet and
Sylvain Maire A spectral Monte Carlo method for the
Poisson equation . . . . . . . . . . . . 275--285
N. Golyandina Convergence rate for spherical processes
with shifted centres . . . . . . . . . . 287--296
Stefan Heinrich On the Power of Quantum Algorithms for
Vector Valued Mean Computation . . . . . 297--310
Aneta Karaivanova and
Michael Mascagni and
Nikolai A. Simonov Parallel Quasirandom Walks on the
Boundary . . . . . . . . . . . . . . . . 311--319
Alexander Keller Trajectory Splitting by Restricted
Replication . . . . . . . . . . . . . . 321--329
A. Kolodko and
J. Schoenmakers Upper Bounds for Bermudan Style
Derivatives . . . . . . . . . . . . . . 331--343
Dmitry Kolyukhin and
Karl Sabelfeld Stochastic Eulerian model for the flow
simulation in porous media. Unconfined
aquifers . . . . . . . . . . . . . . . . 345--357
H. Kosina and
M. Nedjalkov and
S. Selberherr Solution of the Space-dependent Wigner
Equation Using a Particle Model . . . . 359--368
G. A. Kuzmin and
O. N. Soboleva Subgrid Modeling of Filtration in a
Porous Medium with Multiscale Log-Stable
permeability . . . . . . . . . . . . . . 369--376
Christian Lécot and
Bruno Tuffin Comparison of Quasi-Monte Carlo-Based
Methods for Simulation of Markov Chains 377--384
Antoine Lejay Monte Carlo methods for fissured porous
media: a gridless approach . . . . . . . 385--392
Josef Leydold and
Wolfgang Hörmann Smoothed Transformed Density Rejection 393--401
M. Magolu monga Made and
O. F. Smidts and
A. Dubus Adaptive adjoint Monte Carlo simulation
for the uncertainty . . . . . . . . . . 403--413
M. Marseguerra and
E. Padovani and
E. Zio and
F. Giacobbo E. Patelli A Nuclear Measurement Technique of Water
Penetration in Concrete Barriers . . . . 415--422
Mario Marseguerra and
Enrico Zio and
Francesco Bosi System availability and reliability
analysis by direct Monte Carlo with
biasing . . . . . . . . . . . . . . . . 423--434
Michael Mascagni and
Hongmei Chi On the Scrambled Halton Sequence . . . . 435--442
Alain Mazzolo and
Beno\^ìt Roesslinger Monte-Carlo simulation of the chord
length distribution function across
convex bodies, non-convex bodies and
random media . . . . . . . . . . . . . . 443--454
Makoto Mori Discrepancy of sequences generated by
dynamical system . . . . . . . . . . . . 455--459
M. Nedjalkov and
E. Atanassov and
H. Kosina and
S. Selberherr Operator-Split Method for Variance
Reduction in Stochastic Solutions of the
Wigner Equation . . . . . . . . . . . . 461--468
V. Nekrutkin and
P. Potapov Two variants of a stochastic Euler
method for homogeneous balance
differential equations . . . . . . . . . 469--479
Hans-Erik Nilsson and
Antonio Martinez and
Mats Hjelm Full band Monte Carlo simulation ---
beyond the semiclassical approach . . . 481--490
Erich Novak and
Harald Pfeiffer Coin Tossing Algorithms for Integral
Equations and Tractability . . . . . . . 491--498
R. Y. Papancheva Optimal Korobov Coefficients for Good
Lattice Points in Quasi Monte Carlo
Algorithms . . . . . . . . . . . . . . . 499--509
Tim Pillards and
Ronald Cools A theoretical view on transforming
low-discrepancy sequences from a cube to
a simplex . . . . . . . . . . . . . . . 511--529
Stefano Portolan and
Rita C. Iotti and
Fausto Rossi Weighted simulation of steady-state
transport within the standard Monte
Carlo paradigm . . . . . . . . . . . . . 531--539
A. V. Protasov and
V. A. Ogorodnikov Dynamic probabilistic method of
numerical modeling of multidimensional
hydrometeorological fields . . . . . . . 541--549
Abdujabor Rasulov and
Aneta Karaivanova and
Michael Mascagni Quasirandom Sequences in Branching
Random Walks . . . . . . . . . . . . . . 551--558
K. K. Sabelfeld and
I. A. Shalimova and
A. I. Levykin Discrete random walk on large spherical
grids generated by spherical means for
PDEs . . . . . . . . . . . . . . . . . . 559--574
Mateu Sbert and
Philippe Bekaert and
John Halton Reusing paths in radiosity and global
illumination . . . . . . . . . . . . . . 575--585
Thomas Schell and
Andreas Uhl and
Peter Zinterhof Measures of Uniform Distribution in
Wavelet Based Image Compression . . . . 587--597
N. A. Simonov and
M. Mascagni Random Walk Algorithms for Estimating
Effective Properties of Digitized Porous
Media . . . . . . . . . . . . . . . . . 599--608
Hiroshi Sugita Security of pseudo-random generator and
Monte Carlo method . . . . . . . . . . . 609--615
Bruno Tuffin Randomization of Quasi-Monte Carlo
Methods for Error Estimation: Survey and
Normal Approximation . . . . . . . . . . 617--628
Dragica Vasileska and
Shaikh S. Ahmed Monte Carlo Simulation of Narrow-Width
SOI Devices: Incorporation of the Short
Range Coulomb Interaction . . . . . . . 629--640
E. Zio and
A. Cammi and
A. Cioncolini Dagger-sampling variance reduction in
Monte Carlo reliability analysis . . . . 641--652
Karl Sabelfeld Foreword . . . . . . . . . . . . . . . . i
Abdelali Gabih and
Wilfried Grecksch An $ \epsilon $-optimal portfolio with
stochastic volatility . . . . . . . . . 1--14
Dmitry Kolyukhin and
Karl Sabelfeld Stochastic flow simulation in $3$D
porous media . . . . . . . . . . . . . . 15--37
Yaohang Li and
Michael Mascagni Grid-based Quasi-Monte Carlo
Applications . . . . . . . . . . . . . . 39--55
Huyên Pham and
Wolfgang Runggaldier and
Afef Sellami Approximation by quantization of the
filter process and applications to
optimal stopping problems under partial
observation . . . . . . . . . . . . . . 57--81
I. M. Sobol\cprime and
S. S. Kucherenko On global sensitivity analysis of
quasi-Monte Carlo algorithms . . . . . . 83--92
Anonymous Editorial Board . . . . . . . . . . . . 93
Vlad Bally and
Lucia Caramellino and
Antonino Zanette Pricing and hedging American options by
Monte Carlo methods using a Malliavin
calculus approach . . . . . . . . . . . 97--133
V. Gerlovina and
V. Nekrutkin Asymptotical behavior of linear
congruential generators . . . . . . . . 135--162
Makoto Mori Construction of three-dimensional low
discrepancy sequences . . . . . . . . . 163--174
Clive G. Wells and
Markus Kraft Direct Simulation and Mass Flow
Stochastic Algorithms to Solve a
Sintering--Coagulation Equation . . . . 175--197
Anonymous Editorial Board . . . . . . . . . . . . 199
John H. Halton Quasi-probability. Why
quasi-Monte--Carlo methods are
statistically valid and how their errors
can be estimated statistically . . . . . 203--350
Aurélien Alfonsi On the discretization schemes for the
CIR (and Bessel squared) processes . . . 355--384
Nicolas Bouleau Dirichlet Forms in Simulation . . . . . 385--395
E. G. Kablukova Investigation of methods of numerical
integration with optimal convergence
speed . . . . . . . . . . . . . . . . . 397--406
Gilles Pag\`es and
Jacques Printems Functional quantization for numerics
with an application to option pricing 407--446
Mikhail Plotnikov and
Elena Shkarupa The discrete-stochastic approaches to
solving the linearized Boltzmann
equation . . . . . . . . . . . . . . . . 447--462
J. H. Halton Corrigenda: ``Quasi-probability. Why
quasi-Monte--Carlo methods are
statistically valid and how their errors
can be estimated statistically'' [Monte
Carlo Methods Appl. \bf 11 (2005), no.
3, 203--350; \refcno 2159755] . . . . . 463--463
Anonymous Editorial Board . . . . . . . . . . . . 465
Josef Dick and
Peter Kritzer A best possible upper bound on the star
discrepancy of $ (t, m, 2)$-nets . . . . 1--17
S. Mosbach and
M. Kraft Explicit stochastic ODE solution methods
applied to high-temperature combustion 19--45
Art B. Owen On the Warnock--Halton quasi-standard
error . . . . . . . . . . . . . . . . . 47--54
K. K. Sabelfeld and
I. A. Shalimova and
A. I. Levykin Random Walk on Fixed Spheres for Laplace
and Lamé equations . . . . . . . . . . . 55--93
Anonymous Editorial Board . . . . . . . . . . . . 95
Josef Dick A Taylor space for multivariate
integration . . . . . . . . . . . . . . 99--112
John H. Halton Sequential Monte Carlo Techniques for
Solving Non-Linear Systems . . . . . . . 113--141
Christian Kahl and
Henri Schurz Balanced Milstein Methods for Ordinary
SDEs . . . . . . . . . . . . . . . . . . 143--170
Reiichiro Kawai An importance sampling method based on
the density transformation of Lévy
processes . . . . . . . . . . . . . . . 171--186
Anonymous Editorial Board . . . . . . . . . . . . 187
Nicola Bruti-Liberati and
Christina Nikitopoulos-Sklibosios and
Eckhard Platen First Order Strong Approximations of
Jump Diffusions . . . . . . . . . . . . 191--209
O. Kurbanmuradov and
K. Sabelfeld Exponential bounds for the probability
deviations of sums of random fields . . 211--229
G. Leobacher Stratified sampling and quasi-Monte
Carlo simulation of Lévy processes . . . 231--238
Ting Hsiang Lin A comparison of model selection indices
for nested latent class models . . . . . 239--259
Siti Nurleena Abu Mansor and
Adam Baharum and
Anton Abdulbasah Kamil Portfolio Resampling in Malaysian Equity
Market . . . . . . . . . . . . . . . . . 261--269
F. J. Rodr\'ìguez Nieto and
M. A. Pasquale and
M. E. Martins and
F. A. Bareilles and
A. J. Arvia Monte Carlo Simulations of Solid $2$D
Phase Growth on $1$D Solid Substrates
with Square-Wave Surface Profiles.
Influence of Hole Design and Depositing
Particle Surface Diffusion . . . . . . . 271--289
C. G. Wells A stochastic approximation scheme and
convergence theorem for particle
interactions with perfectly reflecting
boundary conditions . . . . . . . . . . 291--342
Anonymous Editorial Board . . . . . . . . . . . . 343
Christian Bender and
Anastasia Kolodko and
John Schoenmakers Policy iteration for American options:
overview . . . . . . . . . . . . . . . . 347--362
S. M. Ermakov and
A. Rukavishnikova Quasi-Monte Carlo algorithms for solving
linear algebraic equations . . . . . . . 363--384
Manuel Gil and
Gaston H. Gonnet and
Wesley P. Petersen A Repetition Test for Pseudo-Random
Number Generators . . . . . . . . . . . 385--393
O. Kurbanmuradov and
K. Sabelfeld Stochastic Spectral and Fourier-Wavelet
Methods for Vector Gaussian Random
Fields . . . . . . . . . . . . . . . . . 395--445
Saralees Nadarajah and
Samuel Kotz Determination of software reliability
based on multivariate exponential, Lomax
and Weibull models . . . . . . . . . . . 447--459
Pierre Ngnepieba and
M. Y. Hussaini and
Laurent Debreu Optimal Control and Stochastic Parameter
Estimation . . . . . . . . . . . . . . . 461--476
Leonid I. Piterbarg Parameter estimation in multi particle
Lagrangian stochastic models . . . . . . 477--493
L. N. Sahoo and
R. K. Sahoo and
S. C. Senapati An Empirical Study on the Accuracy of
Ratio and Regression Estimators in the
Presence of Measurement Errors . . . . . 495--501
M. L. Huang and
M. Pollanen and
W. K. Yuen An Efficient Randomized Quasi-Monte
Carlo Algorithm for the Pareto
Distribution . . . . . . . . . . . . . . 1--20
Saralees Nadarajah Comparison of Time-to-Event Data for
Clinical Trials . . . . . . . . . . . . 21--35
Gilles Pag\`es Multi-step Richardson--Romberg
Extrapolation: Remarks on Variance
Control and Complexity . . . . . . . . . 37--70
K. Sabelfeld and
A. Levykin and
T. Privalova A Fast Stratified Sampling Simulation of
Coagulation Processes . . . . . . . . . 71--88
Ilya M. Sobol\cprime and
Boris V. Shukhman On Global Sensitivity Indices: Monte
Carlo Estimates Affected by Random
Errors . . . . . . . . . . . . . . . . . 89--97
Shigeyoshi Ogawa and
Koji Wakayama On a real-time scheme for the estimation
of volatility . . . . . . . . . . . . . 99--116
Christian Roth Weak approximations of solutions of a
first order hyperbolic stochastic
partial differential equation . . . . . 117--133
Benjamin Jourdain and
Mohamed Sbai Exact retrospective Monte Carlo
computation of arithmetic average Asian
options . . . . . . . . . . . . . . . . 135--171
Hossein Arsham Monte Carlo Techniques for Parametric
Finite Multidimensional Integral
Equations . . . . . . . . . . . . . . . 173--195
Reiichiro Kawai Adaptive Monte Carlo Variance Reduction
with Two-time-scale Stochastic
Approximation . . . . . . . . . . . . . 197--217
Trifon I. Missov Integral evaluation using the $ \Delta^2
$-distribution. Simulation and
illustration . . . . . . . . . . . . . . 219--225
V. Nekrutkin and
M. Samakhova Admissible and Asymptotically Optimal
Linear Congruential Generators . . . . . 227--244
K. P. Vidya Pollard's rho attack on ECDLP and
Threshold Schemes . . . . . . . . . . . 245--252
Francesc Castro and
Gustavo Patow and
Mateu Sbert and
John H. Halton Fast GPU-based reuse of paths in
radiosity . . . . . . . . . . . . . . . 253--273
A. D. Egorov Approximations for expectations of
functionals of solutions to stochastic
differential equations . . . . . . . . . 275--285
V. Malyutin On approximation of matrix valued
functional integrals . . . . . . . . . . 287--298
M. Nedjalkov and
D. Vasileska and
I. Dimov and
G. Arsov Mixed initial-boundary value problem in
particle modeling of microelectronic
devices . . . . . . . . . . . . . . . . 299--331
A. A. Gormin and
Y. N. Kashtanov The weighted variance minimization for
options pricing . . . . . . . . . . . . 333--351
Wilfried Grecksch and
Christian Roth A quasilinear stochastic partial
differential equation driven by
fractional white noise . . . . . . . . . 353--367
C. Lécot and
A. Tarhini A quasi-stochastic simulation of the
general dynamics equation for aerosols 369--388
Saralees Nadarajah Skewed distributions generated by the
Student's $t$ kernel . . . . . . . . . . 389--404
Karl Sabelfeld Expansion of random boundary excitations
for elliptic PDEs . . . . . . . . . . . 405--453
I. M. Sobol\cprime and
E. E. Myshetskaya Monte Carlo estimators for small
sensitivity indices . . . . . . . . . . 455--465
Anton Voytishek and
Alexandr Myasnikov and
Leonid Saneev A use of algorithms for numerical
modeling of order statistics . . . . . . 467--483
John H. Halton Sequential Monte Carlo for linear
systems --- a practical summary . . . . 1--27
Sylvain Maire and
Etienne Tanré Some new simulations schemes for the
evaluation of Feynman--Kac
representations . . . . . . . . . . . . 29--51
Makoto Mori Spectra of Perron--Frobenius operator
and new construction of two dimensional
low discrepancy sequences . . . . . . . 53--74
Saralees Nadarajah Computing percentage points of the
largest among Student's $t$ random
variables . . . . . . . . . . . . . . . 75--84
Hirotake Yaguchi and
Izumi Kubo A new nonrecursive pseudorandom number
generator based on chaos mappings . . . 85--98
Kengy Barty and
Pierre Girardeau and
Cyrille Strugarek and
Jean-Sébastien Roy Application of kernel-based stochastic
gradient algorithms to option pricing 99--127
Benjamin Doerr and
Michael Gnewuch and
Peter Kritzer and
Friedrich Pillichshammer Component-by-component construction of
low-discrepancy point sets of small size 129--149
Flavius Guia\cs Generalized Becker--Döring equations
modeling the time evolution of a process
of preferential attachment with fitness 151--170
John H. Halton Sigma-algebra theorems . . . . . . . . . 171--189
Wolfgang Wagner Deviational particle Monte Carlo for the
Boltzmann equation . . . . . . . . . . . 191--268
Y. Cao and
H. Chi and
C. Milton and
W. Zhao Exploitation of sensitivity derivatives
via randomized quasi-Monte Carlo methods 269--279
Jan Baldeaux Quasi-Monte Carlo methods for the Kou
model . . . . . . . . . . . . . . . . . 281--302
Takahiko Fujita and
Hiroshi Kaneko and
Shin Matsumoto A uniformly distributed sequence on the
ring of $p$-adic integers . . . . . . . 303--310
Stefan Heinz Realizability of dynamic subgrid-scale
stress models via stochastic analysis 311--329
Shigeyoshi Ogawa Real-time scheme for the volatility
estimation in the presence of
microstructure noise . . . . . . . . . . 331--342
Michael Stöllinger and
Stefan Heinz PDF modeling and simulation of premixed
turbulent combustion . . . . . . . . . . 343--377
V. Nekrutkin and
R. Sabitov Spectral test and spectral distance for
multiplicative generators with moduli $
2^p $ . . . . . . . . . . . . . . . . . 1--10
Kaj Nyström and
Thomas Önskog On Monte Carlo algorithms applied to
Dirichlet problems for parabolic
operators in the setting of
time-dependent domains . . . . . . . . . 11--47
Leonid Pletnev and
Maxim Gvozdev and
Kiryl Samartsau Computer modeling of stationary
particles transport in open cylindrical
nanosystems by Monte Carlo method . . . 49--62
K. Sabelfeld and
O. Kurbanmuradov and
A. Levykin Stochastic simulation of particle
transport by a random Darcy flow through
a porous cylinder . . . . . . . . . . . 63--90
H. Fakhouri and
A. Nasroallah On the simulation of Markov chain
steady-state distribution using CFTP
algorithm . . . . . . . . . . . . . . . 91--105
A. A. Kirillov and
I. A. Kirillov The exponential-normal form and its
application to ultra high energy
cascades investigation . . . . . . . . . 107--133
Trifon I. Missov and
Sergey M. Ermakov On importance sampling in the problem of
global optimization . . . . . . . . . . 135--144
Yi Wang and
Kent M. Eskridge and
S. Nadarajah and
Andrzey T. Galecki Bayesian and non-Bayesian analysis of
mixed-effects PK/PD models based on
differential equations . . . . . . . . . 145--167
Giray Ökten and
Michael Gnewuch Correction of a proof in ``A
probabilistic result on the discrepancy
of a hybrid-Monte Carlo sequence and
applications'' [\refcno 1434421] . . . . 169--172
O. Bardou and
N. Frikha and
G. Pag\`es Computing VaR and CVaR using stochastic
approximation and adaptive unconstrained
importance sampling . . . . . . . . . . 173--210
Brian Beachkofski Comparison of descriptive statistics for
multidimensional point sets . . . . . . 211--228
Jaya P. N. Bishwal Berry--Esseen inequalities for
discretely observed diffusions . . . . . 229--239
Ömer E\ugecio\uglu Uniform generation of anonymous and
neutral preference profiles for social
choice rules . . . . . . . . . . . . . . 241--255
K. Sabelfeld and
N. Mozartova Sparsified Randomization Algorithms for
large systems of linear equations and a
new version of the Random Walk on
Boundary method . . . . . . . . . . . . 257--284
Denis Belomestny and
Stanley Mathew and
John Schoenmakers Multiple stochastic volatility extension
of the Libor market model and its
implementation . . . . . . . . . . . . . 285--310
Michael Mascagni and
Haohai Yu Scrambled Sobol\cprime sequences via
permutation . . . . . . . . . . . . . . 311--332
Andreas Neuenkirch and
Henryk Zähle Asymptotic error distribution of the
Euler method for SDEs with non-Lipschitz
coefficients . . . . . . . . . . . . . . 333--351
Hoang-Long Ngo and
Shigeyoshi Ogawa A central limit theorem for the
functional estimation of the spot
volatility . . . . . . . . . . . . . . . 353--380
Christian Bayer and
Anders Szepessy and
Raúl Tempone Adaptive weak approximation of reflected
and stopped diffusions . . . . . . . . . 1--67
Edwin Jimenez and
Nathan Lay and
M. Yousuff Hussaini A systematic study of efficient sampling
methods to quantify uncertainty in crack
propagation and the Burgers equation . . 69--93
A. Egorov and
K. Sabelfeld Approximate formulas for expectations of
functionals of solutions to stochastic
differential equations . . . . . . . . . 95--127
Sergei M. Prigarin and
Andreas Martin and
Gerhard Winkler Simulation of binary random fields with
Gaussian numerical models . . . . . . . 129--142
M. 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 and
Mohamed Sbai Erratum: Exact retrospective Monte Carlo
computation of arithmetic average Asian
options [MR2338086] . . . . . . . . . . 191--193
Alain Dubus and
Karl Sabelfeld Editorial [Selected papers from the
Seventh IMACS Seminar on Monte Carlo
methods] . . . . . . . . . . . . . . . . 195--195
Stefan C. Agapie and
Paula A. Whitlock Random packing of hyperspheres and
Marsaglia's parking lot test . . . . . . 197--209
Rami El Haddad and
Christian Lécot and
Gopalakrishnan Venkiteswaran Diffusion in a nonhomogeneous medium:
quasi-random walk on a lattice . . . . . 211--230
Henri Faure and
Christiane Lemieux Improved Halton sequences and
discrepancy bounds . . . . . . . . . . . 231--250
Tiffany A. Lambert and
Paula A. Whitlock Generalizing Sudoku to three dimensions 251--263
Christophe De Luigi and
Sylvain Maire Adaptive integration and approximation
over hyper-rectangular regions with
applications to basket option pricing 265--282
Roman N. Makarov and
Devin Glew Exact simulation of Bessel diffusions 283--306
Florian Pausinger and
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 and
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 and
Wojciech Niemiro and
Boles\law Samoli\'nski MCMC imputation in autologistic model 421--438
Reza Habibi A note on approximating distribution
functions of cusum and cusumsq tests . . 1--10
Jonas Kiessling and
Raúl Tempone Diffusion approximation of Lévy processes
with a view towards finance . . . . . . 11--45
Peter E. Kloeden and
Carlos Sanz-Chacón Efficient price sensitivity estimation
of financial derivatives by weak
derivatives . . . . . . . . . . . . . . 47--75
Bernard Lapeyre and
Jérôme Lelong A framework for adaptive Monte Carlo
procedures . . . . . . . . . . . . . . . 77--98
Andreas Eichler and
Gunther Leobacher and
Heidrun Zellinger Calibration of financial models using
quasi-Monte Carlo . . . . . . . . . . . 99--131
Terry E. Brumback, Jr. and
Chien-Pin Chen Hybrid modeling of homogeneous gas-phase
combustion reactions . . . . . . . . . . 133--154
Yu. V. Kozachenko and
Yu. Yu. Mlavets Probability of large deviations of sums
of random processes from Orlicz space 155--168
János Engländer and
Nándor Sieben Critical branching random walk in an IID
environment . . . . . . . . . . . . . . 169--193
Annika Lang and
Jürgen Potthoff Fast simulation of Gaussian random
fields . . . . . . . . . . . . . . . . . 195--214
Yevgen V. Turchyn Simulation of sub-Gaussian processes
using wavelets . . . . . . . . . . . . . 215--231
Jesper Karlsson and
Raúl Tempone Towards automatic global error control:
Computable weak error expansion for the
tau-leap method . . . . . . . . . . . . 233--278
Reiichiro Kawai and
Hiroki Masuda Exact discrete sampling of finite
variation tempered stable
Ornstein--Uhlenbeck processes . . . . . 279--300
Don McLeish A general method for debiasing a Monte
Carlo estimator . . . . . . . . . . . . 301--315
Nadia Belaribi and
François Cuvelier and
Francesco Russo A probabilistic algorithm approximating
solutions of a singular PDE of porous
media type . . . . . . . . . . . . . . . 317--369
Abass Sagna Pricing of barrier options by marginal
functional quantization . . . . . . . . 371--398
Victor S. Antyufeev Non-negative regularization for systems
of linear algebraic equations . . . . . 399--410
Sergej M. Ermakov Variance of the simplest Monte Carlo
estimators in the sign-changing case . . 411--417
Anonymous Prelims . . . . . . . . . . . . . . . . i
Sophie Laruelle and
Gilles Pag\`es Stochastic approximation with averaging
innovation applied to Finance . . . . . 1--51
Jan Hanousek and
Evzen Kocenda and
Jan Novotný The identification of price jumps . . . 53--77
Julia Greslehner and
Friedrich Pillichshammer Discrepancy of higher rank polynomial
lattice point sets . . . . . . . . . . . 79--108
Anonymous Masthead . . . . . . . . . . . . . . . . i
Amer Ibrahim Al-Omari Amjad D. Al-Nasser On the population median estimation
using robust extreme ranked set sampling 109
Claude Le Bris and
Tony Leli\`evre and
Mitchell Luskin and
Danny Perez A mathematical formalization of the
parallel replica dynamics . . . . . . . 119
Sylvain Maire and
Cyril Prissette A restarted estimation of distribution
algorithm for solving sudoku puzzles . . 147
Michael Mascagni and
Lin-Yee Hin Parallel random number generators in
Monte Carlo derivative pricing: An
application-based test . . . . . . . . . 161
Christoph Aistleitner and
Markus Hofer Probabilistic error bounds for the
discrepancy of mixed sequences . . . . . 181
Anonymous Masthead . . . . . . . . . . . . . . . . i
Juarez S. Azevedo Quasi Monte Carlo methods applied to
equations in transient regime on the
Theis equation . . . . . . . . . . . . . 201
Karl Sabelfeld and
Nadezhda Mozartova Stochastic boundary collocation and
spectral methods for solving PDEs . . . 217
Kausik Chatterjee and
Akshay Anantapadmanabhan A Green's function Monte Carlo algorithm
for the Helmholtz equation subject to
Neumann and mixed boundary conditions:
Validation with an $1$D benchmark
problem . . . . . . . . . . . . . . . . 265
Anonymous Masthead . . . . . . . . . . . . . . . . i
Reza Habibi A note on Newton's method for system of
stochastic differential equations . . . 275
Noufel Frikha and
Abass Sagna Quantization based recursive importance
sampling . . . . . . . . . . . . . . . . 287
Makoto Mori and
Masaki Mori Dynamical system generated by algebraic
method and low discrepancy sequences . . 327
Klaus Pötzelberger Improving the Monte Carlo estimation of
boundary crossing probabilities by
control variables . . . . . . . . . . . 353
Anonymous Masthead . . . . . . . . . . . . . . . . i
Colas Schretter and
Harald Niederreiter A direct inversion method for
non-uniform quasi-random point sequences 1
Céline Labart and
Jérôme Lelong A parallel algorithm for solving BSDEs 11
Pierre Étoré and
Miguel Martinez Exact simulation of one-dimensional
stochastic differential equations
involving the local time at zero of the
unknown process . . . . . . . . . . . . 41
Annika Lang and
Jürgen Potthoff Erratum: Fast simulation of Gaussian
random fields [Monte Carlo Methods Appl.
\bf 17 (2011), 195--214] . . . . . . . . 73
Anonymous Masthead . . . . . . . . . . . . . . . . i
Anonymous Masthead . . . . . . . . . . . . . . . . i
Michael Mascagni and
Lin-Yee Hin Parallel pseudo-random number
generators: A derivative pricing
perspective with the Heston stochastic
volatility model . . . . . . . . . . . . 77
Lexuri Fernández and
Peter Hieber and
Matthias Scherer Double-barrier first-passage times of
jump-diffusion processes . . . . . . . . 107
Richard V. Field, Jr. and
Mircea Grigoriu and
Clark R. Dohrmann An algorithm for on-the-fly generation
of samples of non-stationary Gaussian
processes based on a sampling theorem 143
Yury Kozachenko and
Oleksandr Kurchenko and
Olga Synyavska Levy--Baxter theorems for one class of
non-Gaussian random fields . . . . . . . 171
Anatoly Zherelo On convergence of the method based on
approximately exact formulas for
functional polynomials for calculation
of expectations of functionals to
solutions of stochastic differential
equations . . . . . . . . . . . . . . . 183
Sylvain Maire and
Etienne Tanré Monte Carlo approximations of the
Neumann problem . . . . . . . . . . . . 201
Junichi Imai Comparison of random number generators
via Fourier transform . . . . . . . . . 237--259
Anonymous Masthead . . . . . . . . . . . . . . . . i
Hongmei Chi Generation of parallel modified
Kronecker sequences . . . . . . . . . . 261
Xuewei Yang A new numerical scheme for a class of
reflected stochastic differential
equations . . . . . . . . . . . . . . . 273
Davoud Rostamy and
Mohammad Jabbari and
Mahshid Gadirian Worst case error for
integro-differential equations by a
lattice--Nyström method . . . . . . . . . 281
Tarik Ben Zineb and
Emmanuel Gobet Preliminary control variates to improve
empirical regression methods . . . . . . 331
Anonymous Masthead . . . . . . . . . . . . . . . . i
Anonymous Masthead . . . . . . . . . . . . . . . . i
Håkon Hoel and
Erik von Schwerin and
Anders Szepessy and
Raúl Tempone Implementation and analysis of an
adaptive multilevel Monte Carlo
algorithm . . . . . . . . . . . . . . . 1
Jean Michel Sellier and
Mihail Nedjalkov and
Ivan Dimov and
Siegfried Selberherr A benchmark study of the Wigner Monte
Carlo method . . . . . . . . . . . . . . 43
Kausik Chatterjee and
John R. Roadcap and
Surendra Singh A new Green's function Monte Carlo
algorithm for the solution of the
three-dimensional nonlinear
Poisson--Boltzmann equation: Application
to the modeling of plasma sheath layers 53
Vipul Kumar Singh Competency of Monte Carlo and
Black--Scholes in pricing Nifty index
options: A vis-\`a-vis study . . . . . . 61
Anonymous Frontmatter . . . . . . . . . . . . . . i
Anonymous Frontmatter . . . . . . . . . . . . . . i
Adam Metzler and
Alexandre Scott Rare event simulation for diffusion
processes via two-stage importance
sampling . . . . . . . . . . . . . . . . 77
Michael Mascagni and
Yue Qiu and
Lin-Yee Hin High performance computing in
quantitative finance: A review from the
pseudo-random number generator
perspective . . . . . . . . . . . . . . 101--120
Mircea Grigoriu An efficient Monte Carlo solution for
problems with random matrices . . . . . 121
Yuriy V. Kozachenko and
Mykola P. Sergiienko The criterion of hypothesis testing on
the covariance function of a Gaussian
stochastic process . . . . . . . . . . . 137
Idris Kharroubi and
Nicolas Langrené and
Huyên Pham A numerical algorithm for fully
nonlinear HJB equations: An approach by
control randomization . . . . . . . . . 145
Anonymous Frontmatter . . . . . . . . . . . . . . i
Ilya M. Sobol and
Boris V. Shukhman Quasi-Monte Carlo: A high-dimensional
experiment . . . . . . . . . . . . . . . 167--171
Karl K. Sabelfeld and
Alexander I. Levykin A spectral method for isotropic
diffusion equation with random
concentration fluctuations of incoming
flux of particles through
circular-shaped boundaries . . . . . . . 173
Mohamed Ben Alaya and
Ahmed Kebaier Multilevel Monte Carlo for Asian options
and limit theorems . . . . . . . . . . . 181
Lokman A. Abbas-Turki and
Aych I. Bouselmi and
Mohammed A. Mikou Toward a coherent Monte Carlo simulation
of CVA . . . . . . . . . . . . . . . . . 195
Chi-Ok Hwang and
Seung-Yeon Kim Field-induced Kosterlitz--Thouless
transition in critical
triangular-lattice antiferromagnets . . 217
Anonymous Frontmatter . . . . . . . . . . . . . . i
Yuri Imamura and
Yuta Ishigaki and
Toshiki Okumura A numerical scheme based on semi-static
hedging strategy . . . . . . . . . . . . 223
Seung-Hwan Lee and
Eun-Joo Lee A martingale approach to estimating
confidence band with censored data . . . 237
Lucia Del Chicca and
Gerhard Larcher Hybrid Monte Carlo methods in credit
risk management . . . . . . . . . . . . 245
Stefan Heinz Uncertainty quantification of world
population growth: A self-similar PDF
model . . . . . . . . . . . . . . . . . 261
Irina A. Shalimova and
Karl K. Sabelfeld Stochastic polynomial chaos based
algorithm for solving PDEs with random
coefficients . . . . . . . . . . . . . . 279
Anonymous Frontmatter . . . . . . . . . . . . . . i
Sylvain Corlay and
Gilles Pag\`es Functional quantization-based stratified
sampling methods . . . . . . . . . . . . 1
Karl K. Sabelfeld and
Alexander I. Levykin and
Anastasiya E. Kireeva Stochastic simulation of
fluctuation-induced reaction-diffusion
kinetics governed by Smoluchowski
equations . . . . . . . . . . . . . . . 33
Edilberto Cepeda-Cuervo and
Liliana Garrido Bayesian beta regression models with
joint mean and dispersion modeling . . . 49
Mohamed Hssikou and
Jamal Baliti and
Yassir Bouzineb and
Mohammed Alaoui DSMC method for a two-dimensional flow
with a gravity field in a square cavity 59
Peter Stallinga and
Igor Khmelinskii Consensus in science . . . . . . . . . . 69
Mohsen Sharifzadeh and
Hosein Afarideh and
Hosein Khalafi and
Reza Gholipour A Matlab-based Monte Carlo algorithm for
transport of gamma-rays in matter . . . 77
Anonymous Frontmatter . . . . . . . . . . . . . . i
Kai Li and
Kaj Nyström and
Marcus Olofsson Optimal switching problems under partial
information . . . . . . . . . . . . . . 91
Wolfgang Wagner A class of probabilistic models for the
Schrödinger equation . . . . . . . . . . 121
Nathanial Burch and
R. B. Lehoucq Computing the exit-time for a
finite-range symmetric jump process . . 139
Dmitriy Kolyukhin and
Karl K. Sabelfeld Stochastic small perturbation based
simulation technique for solving
isotropic elastostatics equations . . . 153
Timothy D. Andersen and
Michael Mascagni Memory efficient lagged-Fibonacci random
number generators for GPU supercomputing 163--174
Boris V. Shukhman and
Ilya M. Sobol A limit theorem for average dimensions 175
Anonymous Frontmatter . . . . . . . . . . . . . . i
Anton A. Antonov and
Sergej M. Ermakov Random cubatures and quasi-Monte Carlo
methods . . . . . . . . . . . . . . . . 179
Sergey I. Kabanikhin and
Karl K. Sabelfeld and
Nikita S. Novikov and
Maxim A. Shishlenin Numerical solution of an inverse problem
of coefficient recovering for a wave
equation by a stochastic projection
methods . . . . . . . . . . . . . . . . 189
Jean-François Bégin and
Myl\`ene Bédard and
Patrice Gaillardetz Simulating from the Heston model: A
gamma approximation scheme . . . . . . . 205
Yuriy V. Kozachenko and
Yuriy Y. Mlavets Reliability and accuracy in the space $
L_p(T) $ for the calculation of
integrals depending on a parameter by
the Monte Carlo method . . . . . . . . . 233
Nikolaos Halidias A new numerical scheme for the CIR
process . . . . . . . . . . . . . . . . 245
Anonymous Frontmatter . . . . . . . . . . . . . . i
David Aristoff The parallel replica method for
computing equilibrium averages of Markov
chains . . . . . . . . . . . . . . . . . 255
Victor S. Antyufeev Mathematical verification of the Monte
Carlo maximum cross-section technique 275
Gogi R. Pantsulaia Infinite-dimensional Monte-Carlo
integration . . . . . . . . . . . . . . 283
Mohamed Yasser Bounnite and
Abdelaziz Nasroallah Widening and clustering techniques
allowing the use of monotone CFTP
algorithm . . . . . . . . . . . . . . . 301
Nikolaos Halidias Constructing positivity preserving
numerical schemes for the two-factor CIR
model . . . . . . . . . . . . . . . . . 313
Oleg A. Makhotkin Simulation of random variates with the
Morgenstern distribution . . . . . . . . 325
Anonymous Frontmatter . . . . . . . . . . . . . . i
David Dereudre and
Sara Mazzonetto and
Sylvie Roelly An explicit representation of the
transition densities of the skew
Brownian motion with drift and two
semipermeable barriers . . . . . . . . . 1
Claude Le Bris and
Frédéric Legoll and
William Minvielle Special quasirandom structures: A
selection approach for stochastic
homogenization . . . . . . . . . . . . . 25
Karl K. Sabelfeld Splitting and survival probabilities in
stochastic random walk methods and
applications . . . . . . . . . . . . . . 55
Dobriyan M. Benov The Manhattan Project, the first
electronic computer and the Monte Carlo
method . . . . . . . . . . . . . . . . . 73
Anonymous Frontmatter . . . . . . . . . . . . . . i
Alexandre L. Levada Information geometry, simulation and
complexity in Gaussian random fields . . 81
Vladimir Nekrutkin On the complexity of binary floating
point pseudorandom generation . . . . . 109
Karl K. Sabelfeld Random walk on semi-cylinders for
diffusion problems with mixed
Dirichlet--Robin boundary conditions . . 117
Nguyet Nguyen and
Giray kten The acceptance--rejection method for
low-discrepancy sequences . . . . . . . 133
Abdelkader Bouazza and
Abderrahmane Settaouti Study and simulation of the sputtering
process of material layers in plasma . . 149
Anonymous Frontmatter . . . . . . . . . . . . . . i
Rong Kong and
Jerome Spanier A new proof of geometric convergence for
the adaptive generalized weighted analog
sampling (GWAS) method . . . . . . . . . 161
Anis Al Gerbi and
Benjamin Jourdain and
Emmanuelle Clément Ninomiya--Victoir scheme: Strong
convergence, antithetic version and
application to multilevel estimators . . 197
Anis Matoussi and
Wissal Sabbagh Numerical computation for backward
doubly SDEs with random terminal time 229
Karl K. Sabelfeld Vector Monte Carlo stochastic
matrix-based algorithms for large linear
systems . . . . . . . . . . . . . . . . 259
Anonymous Frontmatter . . . . . . . . . . . . . . i
Karl K. Sabelfeld Random walk on spheres method for
solving drift--diffusion problems . . . 265
Nikolaos Halidias On the construction of boundary
preserving numerical schemes . . . . . . 277
Jem N. Corcoran and
Dale Jennings and
Paul VaughanMiller Perfect and $ \epsilon $-perfect
simulation methods for the
one-dimensional Kac equation . . . . . . 291
Mohsine Benabdallah and
Youssfi Elkettani and
Kamal Hiderah Approximation of Euler--Maruyama for
one-dimensional stochastic differential
equations involving the local times of
the unknown process . . . . . . . . . . 307
Behrouz Fathi-Vajargah and
Mohadeseh Kanafchian Improved Markov Chain Monte Carlo method
for cryptanalysis
substitution--transposition cipher . . . 323
Mohamed Hssikou and
Jamal Baliti and
Mohammed Alaoui The planar Couette flow with slip and
jump boundary conditions in a
microchannel . . . . . . . . . . . . . . 337
Shin Harase A search for extensible low-WAFOM point
sets . . . . . . . . . . . . . . . . . . 349
Anonymous Frontmatter . . . . . . . . . . . . . . i
Clément Rey Convergence in total variation distance
of a third order scheme for
one-dimensional diffusion processes . . 1
Khaldoun El Khaldi and
Elias G. Saleeby On the tangent model for the density of
lines and a Monte Carlo method for
computing hypersurface area . . . . . . 13
Gersende Fort and
Emmanuel Gobet and
Eric Moulines MCMC design-based non-parametric
regression for rare event. Application
to nested risk computations . . . . . . 21
Daphné Giorgi and
Vincent Lemaire and
Gilles Pag\`es Limit theorems for weighted and regular
multilevel estimators . . . . . . . . . 43
Anonymous Frontmatter . . . . . . . . . . . . . . i
Patrick Cattiaux and
José R. León and
Clémentine Prieur Invariant density estimation for a
reflected diffusion using an Euler
scheme . . . . . . . . . . . . . . . . . 71
Asia Aljahdali and
Michael Mascagni Feistel-inspired scrambling improves the
quality of linear congruential
generators . . . . . . . . . . . . . . . 89
Irina A. Shalimova and
Karl K. Sabelfeld Stochastic polynomial chaos expansion
method for random Darcy equation . . . . 101
Samuel Iddi and
Esther O. Nwoko Effect of covariate misspecifications in
the marginalized zero-inflated Poisson
model . . . . . . . . . . . . . . . . . 111
Yuri Kashtanov Stochastic mesh method for optimal
stopping problems . . . . . . . . . . . 121
Naushad Mamode Khan and
Wasseem Rumjaun and
Yuvraj Sunecher and
Vandna Jowaheer Computing with bivariate COM-Poisson
model under different copulas . . . . . 131
Behrouz Fathi-Vajargah and
Mohadeseh Kanafchian Improved Markov Chain Monte Carlo method
for cryptanalysis
substitution-transposition cipher . . . 147
Anonymous Frontmatter . . . . . . . . . . . . . . i
Alexander Egorov and
Victor Malyutin A method for the calculation of
characteristics for the solution to
stochastic differential equations . . . 149
Emma M. Iglesias and
Garry D. A. Phillips The use of bias correction versus the
Jackknife when testing the mean
reversion and long term mean parameters
in continuous time models . . . . . . . 159
Mircea Grigoriu Monte Carlo algorithm for vector-valued
Gaussian functions with preset component
accuracies . . . . . . . . . . . . . . . 165
Karl K. Sabelfeld Random walk on spheres algorithm for
solving transient
drift-diffusion-reaction problems . . . 189
Anonymous Frontmatter . . . . . . . . . . . . . . i
Peter E. Creasey and
Annika Lang Fast generation of isotropic Gaussian
random fields on the sphere . . . . . . 1--11
Emmanuel Evarest and
Fredrik Berntsson and
Martin Singull and
Xiangfeng Yang Weather derivatives pricing using regime
switching model . . . . . . . . . . . . 13--27
Sema Coskun and
Ralf Korn Pricing barrier options in the Heston
model using the Heath--Platen estimator 29--41
Irina Shalimova and
Karl K. Sabelfeld Random walk on spheres method for
solving anisotropic drift-diffusion
problems . . . . . . . . . . . . . . . . 43--54
Anthony Le Cavil and
Nadia Oudjane and
Francesco Russo Monte-Carlo algorithms for a forward
Feynman--Kac-type representation for
semilinear nonconservative partial
differential equations . . . . . . . . . 55--70
Mariam Elkhechafi and
Hanaa Hachimi and
Youssfi Elkettani A new hybrid cuckoo search and firefly
optimization . . . . . . . . . . . . . . 71--77
Anonymous Frontmatter . . . . . . . . . . . . . . i
Karl K. Sabelfeld and
Anastasiya 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 and
Linlin Xu and
Giray Ökten A quasi-Monte Carlo implementation of
the ziggurat method . . . . . . . . . . 93--99
Mohamed-Slim Alouini and
Nadhir Ben Rached and
Abla Kammoun and
Raul Tempone On the efficient simulation of the
left-tail of the sum of correlated
log-normal variates . . . . . . . . . . 101--115
Baisen Liu and
Liangliang Wang and
Jiguo Cao Bayesian estimation of ordinary
differential equation models when the
likelihood has multiple local modes . . 117--127
Iryna Rozora and
Mariia Lyzhechko On the modeling of linear system input
stochastic processes with given accuracy
and reliability . . . . . . . . . . . . 129--137
Sergej M. Ermakov and
Svetlana N. Leora Remarks on randomization of quasi-random
numbers . . . . . . . . . . . . . . . . 139--145
Ilya M. Sobol and
Boris V. Shukhman On average dimensions of particle
transport estimators . . . . . . . . . . 147--151
Anonymous Frontmatter . . . . . . . . . . . . . . i
Jamal Baliti and
Mohamed Hssikou and
Mohammed Alaoui Monte Carlo simulation of nonlinear
gravity driven Poiseuille--Couette flow
in a dilute gas . . . . . . . . . . . . 153--163
Kenza Tamiti and
Megdouda Ourbih-Tari and
Abdelouhab Aloui and
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 and
Anatolii Pashko and
Olga Vasylyk Simulation of generalized fractional
Brownian motion in $ C([0, T]) $ . . . . 179--192
Karl K. Sabelfeld and
Georgy Eremeev A hybrid kinetic-thermodynamic Monte
Carlo model for simulation of
homogeneous burst nucleation . . . . . . 193--202
Christian Müller and
Fabian Weysser and
Thomas Mrziglod and
Andreas Schuppert Markov-Chain Monte-Carlo methods and
non-identifiabilities . . . . . . . . . 203--214
Abdelkader Bouazza and
Abderrahmane Settaouti Understanding the contribution of energy
and angular distribution in the
morphology of thin films using Monte
Carlo simulation . . . . . . . . . . . . 215--224
Anonymous Frontmatter . . . . . . . . . . . . . . i
Xavier Warin Nesting Monte Carlo for high-dimensional
non-linear PDEs . . . . . . . . . . . . 225--247
Mohsine Benabdallah and
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--262
Dmitriy Kolyukhin Global sensitivity analysis for a
stochastic flow problem . . . . . . . . 263--270
Debora Chan and
Andrea Rey and
Juliana Gambini and
Alejandro C. Frery Sampling from the $ {\cal G}^0_I $
distribution . . . . . . . . . . . . . . 271--287
Toshihiro Yamada and
Kenta Yamamoto A second-order weak approximation of
SDEs using a Markov chain without Lévy
area simulation . . . . . . . . . . . . 289--308
Harold A. Lay and
Zane Colgin and
Viktor Reshniak and
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
Anonymous Frontmatter . . . . . . . . . . . . . . i
Gilles Pag\`es and
Clément Rey Recursive computation of the invariant
distributions of Feller processes:
Revisited examples and new applications 1--36
Antoon Pelsser and
Kossi Gnameho A Monte Carlo method for backward
stochastic differential equations with
Hermite martingales . . . . . . . . . . 37--60
Shin Harase Comparison of Sobol' sequences in
financial applications . . . . . . . . . 61--74
Sercan Gür and
Klaus Pötzelberger Sensitivity of boundary crossing
probabilities of the Brownian motion . . 75--83
Karl K. Sabelfeld A global random walk on spheres
algorithm for transient heat equation
and some extensions . . . . . . . . . . 85--96
Anonymous Frontmatter . . . . . . . . . . . . . . i
Riu Naito and
Toshihiro Yamada A third-order weak approximation of
multidimensional Itô stochastic
differential equations . . . . . . . . . 97
Zakarya Zarezadeh and
Giovanni Costantini Particle diffusion Monte Carlo (PDMC) 121
Karl K. Sabelfeld Random walk on rectangles and
parallelepipeds algorithm for solving
transient anisotropic
drift--diffusion--reaction problems . . 131
Hayette Braham and
Louiza Berdjoudj and
Mohamed Boualem and
Nadji Rahmania Analysis of a non-Markovian queueing
model: Bayesian statistics and MCMC
methods . . . . . . . . . . . . . . . . 147
Sergej M. Ermakov and
Anna A. Pogosian On solving stochastic differential
equations . . . . . . . . . . . . . . . 155
Nima Rabiei and
Elias G. Saleeby On the sample-mean method for computing
hyper-volumes . . . . . . . . . . . . . 163
Meriem Boubalou and
Megdouda Ourbih-Tari and
Abdelouhab Aloui and
Arezki Zioui Comparing M/G/1 queue estimators in
Monte Carlo simulation through the
tested generator ``getRDS'' and the
proposed ``getLHS'' using variance
reduction . . . . . . . . . . . . . . . 177
Anonymous Frontmatter . . . . . . . . . . . . . . i
Manal Bayousef and
Michael Mascagni A computational investigation of the
optimal Halton sequence in QMC
applications . . . . . . . . . . . . . . 187
Nikhil Kumar Rajput Gillespie algorithm and diffusion
approximation based on Monte Carlo
simulation for innovation diffusion: a
comparative study . . . . . . . . . . . 209
Ievgen Turchyn Wavelet-based simulation of random
processes from certain classes with
given accuracy and reliability . . . . . 217
Lihao Zhang and
Zeyang Ye and
Yuefan Deng Parallel MCMC methods for global
optimization . . . . . . . . . . . . . . 227
Yusuke Okano and
Toshihiro Yamada A control variate method for weak
approximation of SDEs via discretization
of numerical error of asymptotic
expansion . . . . . . . . . . . . . . . 239
I. M. Sobol and
B. V. Shukhman Quasi-Monte Carlo method for solving
Fredholm equations . . . . . . . . . . . 253
Taku Achiha and
Hiroshi Sugita and
Kenta Tonohiro and
Yuto Yamamoto Generation of $k$-wise independent
random variables with small randomness 259
Irina Shalimova and
Karl K. Sabelfeld A random walk on small spheres method
for solving transient anisotropic
diffusion problems . . . . . . . . . . . 271
Anonymous Frontmatter . . . . . . . . . . . . . . i
Christian Weiß and
Zoran Nikoli\'c An aspect of optimal regression design
for LSMC . . . . . . . . . . . . . . . . 283
Hanbyeol Jang and
Jian Wang and
Junseok Kim Equity-linked security pricing and
Greeks at arbitrary intermediate times
using Brownian bridge . . . . . . . . . 291
Hoa Pham and
Huong T. T. Pham A Bayesian approach for multi-stage
models with linear time-dependent hazard
rate . . . . . . . . . . . . . . . . . . 307
Abdelaziz Nasroallah and
Mohamed Yasser Bounnite A kind of dual form for coupling from
the past algorithm, to sample from
Markov chain steady-state probability 317
Preston Hamlin and
W. John Thrasher and
Walid Keyrouz and
Michael Mascagni Geometry entrapment in
Walk-on-Subdomains . . . . . . . . . . . 329
Riu Naito and
Toshihiro Yamada A second-order discretization for
forward-backward SDEs using local
approximations with Malliavin calculus 341
Anonymous Frontmatter . . . . . . . . . . . . . . i
Kevin Vanslette and
Abdullatif Al Alsheikh and
Kamal Youcef-Toumi Why simple quadrature is just as good as
Monte Carlo . . . . . . . . . . . . . . 1
David J. Torres Describing the Pearson $R$ distribution
of aggregate data . . . . . . . . . . . 17
Kamal Hiderah Approximation of Euler--Maruyama for
one-dimensional stochastic differential
equations involving the maximum process 33
Huong Thi Thu Pham and
Hoa Pham and
Darfiana Nur A Bayesian inference for the penalized
spline joint models of longitudinal and
time-to-event data: A prior sensitivity
analysis . . . . . . . . . . . . . . . . 49
Kahina Bedouhene and
Nabil Zougab A Bayesian procedure for bandwidth
selection in circular kernel density
estimation . . . . . . . . . . . . . . . 69
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Marco Marozzi and
Shovan Chowdhury An index of teaching performance based
on students' feedback . . . . . . . . . 83--91
Christian Müller and
Holger Diedam and
Thomas Mrziglod and
Andreas Schuppert A neural network assisted Metropolis
adjusted Langevin algorithm . . . . . . 93--111
Hamza M. Ruzayqat and
Ajay Jasra Unbiased estimation of the solution to
Zakai's equation . . . . . . . . . . . . 113--129
Florian Bourgey and
Stefano De Marco and
Emmanuel Gobet and
Alexandre Zhou Multilevel Monte Carlo methods and
lower--upper bounds in initial margin
computations . . . . . . . . . . . . . . 131--161
Vladimir Nekrutkin Binary decompositions of probability
densities and random-bit simulation . . 163--169
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Ilya M. Sobol and
Boris V. Shukhman QMC integration errors and
quasi-asymptotics . . . . . . . . . . . 171--176
Karl K. Sabelfeld and
Nikita Popov Monte Carlo tracking drift-diffusion
trajectories algorithm for solving
narrow escape problems . . . . . . . . . 177--191
Shady Ahmed Nagy and
Mohamed A. El-Beltagy and
Mohamed Wafa Multilevel Monte Carlo by using the
Halton sequence . . . . . . . . . . . . 193--203
Johannes Reichl Estimating marginal likelihoods from the
posterior draws through a geometric
identity . . . . . . . . . . . . . . . . 205--221
W. John Thrasher and
Michael Mascagni Examining sharp restart in a Monte Carlo
method for the linearized
Poisson--Boltzmann equation . . . . . . 223--244
Dmitriy Kolyukhin Statistical modeling of
three-dimensional fractal point sets
with a given spatial probability
distribution . . . . . . . . . . . . . . 245--252
Seung-Hwan Lee and
Eun-Joo Lee A weighted log-rank test for comparing
two survival curves . . . . . . . . . . 253--262
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Evgenia Kablukova and
Karl Sabelfeld and
Dmitrii Y. Protasov and
Konstantin S. Zhuravlev Drift velocity in GaN semiconductors:
Monte Carlo simulation and comparison
with experimental measurements . . . . . 263--271
Hao Ji and
Michael Mascagni and
Yaohang Li Gaussian variant of Freivalds' algorithm
for efficient and reliable matrix
product verification . . . . . . . . . . 273--284
Alexander Egorov An approximate formula for calculating
the expectations of functionals from
random processes based on using the
Wiener chaos expansion . . . . . . . . . 285--292
Arun Kumar Polala and
Giray Ökten Implementing de-biased estimators using
mixed sequences . . . . . . . . . . . . 293--301
Karima Elkimakh and
Abdelaziz Nasroallah Hidden Markov Model with Markovian
emission . . . . . . . . . . . . . . . . 303--313
Khaldoun El Khaldi and
Elias G. Saleeby On the density of lines and Santalo's
formula for computing geometric size
measures . . . . . . . . . . . . . . . . 315--323
Ahad Malekzadeh and
Seyed Mahdi Mahmoudi Constructing a confidence interval for
the ratio of normal distribution
quantiles . . . . . . . . . . . . . . . 325--334
Irina Shalimova and
Karl K. Sabelfeld Random walk on ellipsoids method for
solving elliptic and parabolic equations 335--353
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Jaspar Wiart and
Christiane Lemieux and
Gracia Y. Dong On the dependence structure and quality
of scrambled $ (t, m, s)$-nets . . . . . 1--26
Idris Kharroubi and
Thomas Lim and
Xavier Warin Discretization and machine learning
approximation of BSDEs with a constraint
on the Gains-process . . . . . . . . . . 27--55
Yasmina Ziane and
Nabil Zougab and
Smail Adjabi Body tail adaptive kernel density
estimation for nonnegative heavy-tailed
data . . . . . . . . . . . . . . . . . . 57--69
Kekoura Sakouvogui and
Saleem Shaik and
Curt Doetkott and
Rhonda Magel Sensitivity analysis of stochastic
frontier analysis models . . . . . . . . 71--90
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Zineb El Filali Ech-Chafiq and
Jérôme Lelong and
Adil Reghai Automatic control variates for option
pricing using neural networks . . . . . 91--104
Nikolaos Halidias On the absorption probabilities and mean
time for absorption for discrete Markov
chains . . . . . . . . . . . . . . . . . 105--115
Toshihiro Yamada High order weak approximation for
irregular functionals of
time-inhomogeneous SDEs . . . . . . . . 117--136
Hassane Chraibi and
Anne Dutfoy and
Thomas Galtier and
Josselin Garnier Optimal potential functions for the
interacting particle system method . . . 137--152
Nima Rabiei and
Elias G. Saleeby On intersection volumes of confidence
hyper-ellipsoids and two geometric Monte
Carlo methods . . . . . . . . . . . . . 153--167
Takuya Nakagawa and
Akihiro Tanaka On a Monte Carlo scheme for some linear
stochastic partial differential
equations . . . . . . . . . . . . . . . 169--193
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
David A. Spade Estimating drift and minorization
coefficients for Gibbs sampling
algorithms . . . . . . . . . . . . . . . 195--209
Karl K. Sabelfeld and
Dmitrii Smirnov A global random walk on grid algorithm
for second order elliptic equations . . 211--225
Bernard Lapeyre and
Jérôme Lelong Neural network regression for Bermudan
option pricing . . . . . . . . . . . . . 227--247
Casper H. L. Beentjes Optimising Poisson bridge constructions
for variance reduction methods . . . . . 249--275
Huong T. T. Pham and
Hoa Pham On the existence of posterior mean for
Bayesian logistic regression . . . . . . 277--288
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Kirill Svit and
Konstantin Zhuravlev and
Sergey Kireev and
Karl K. Sabelfeld A stochastic model, simulation, and
application to aggregation of cadmium
sulfide nanocrystals upon evaporation of
the Langmuir--Blodgett matrix . . . . . 289--299
Irina Shalimova and
Karl K. Sabelfeld Random walk on spheres algorithm for
solving steady-state and transient
diffusion-recombination problems . . . . 301--313
Unjong Yu and
Hoseung Jang and
Chi-Ok Hwang A diffusion Monte Carlo method for
charge density on a conducting surface
at non-constant potentials . . . . . . . 315--324
Karl K. Sabelfeld and
Dmitry Smirnov and
Ivan Dimov and
Venelin Todorov A global random walk on grid algorithm
for second order elliptic equations . . 325--339
Dmitriy Kolyukhin Global sensitivity analysis of
statistical models by double
randomization method . . . . . . . . . . 341--346
Lucas Izydorczyk and
Nadia Oudjane and
Francesco Russo A fully backward representation of
semilinear PDEs applied to the control
of thermostatic loads in power systems 347--371
Salah Eddine Chouaib Refas and
Abdelkader Bouazza and
Youcef Belhadji 3D sputtering simulations of the CZTS,
Si and CIGS thin films using Monte-Carlo
method . . . . . . . . . . . . . . . . . 373--382
Anonymous Frontmatter . . . . . . . . . . . . . . i--iv
Ivan Dimov and
Venelin Todorov and
Karl Sabelfeld A study of highly efficient stochastic
sequences for multidimensional
sensitivity analysis . . . . . . . . . . 1--12
Nikolaos Halidias and
Ioannis S. Stamatiou A note on the asymptotic stability of
the semi-discrete method for stochastic
differential equations . . . . . . . . . 13--25
Az-eddine Zakrad and
Abdelaziz Nasroallah Estimation of steady-state quantities of
an HMM with some rarely generated
emissions . . . . . . . . . . . . . . . 27--44
Yousri Slaoui and
Salima Helali Recursive regression estimation based on
the two-time-scale stochastic
approximation method and Bernstein
polynomials . . . . . . . . . . . . . . 45--59
Marco Ballesio and
Ajay Jasra Unbiased estimation of the gradient of
the log-likelihood for a class of
continuous-time state-space models . . . 61--83
Dmitriy Kolyukhin and
Alexander Minakov Simulation of Gaussian random field in a
ball . . . . . . . . . . . . . . . . . . 85--95
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Naho Akiyama and
Toshihiro Yamada A high order weak approximation for
jump-diffusions using Malliavin calculus
and operator splitting . . . . . . . . . ??
Jaya P. N. Bishwal Berry--Esseen inequalities for the
fractional Black--Karasinski model of
term structure of interest rates . . . . ??
Karl K. Sabelfeld Randomized Monte Carlo algorithms for
matrix iterations and solving large
systems of linear equations . . . . . . ??
Tetiana Ianevych and
Iryna Rozora and
Anatolii Pashko On one way of modeling a stochastic
process with given accuracy and
reliability . . . . . . . . . . . . . . ??
Shijia Wang and
Tim Swartz Moment matching adaptive importance
sampling with skew-student proposals . . ??
Hamida Talhi and
Hiba Aiachi and
Nadji Rahmania Bayesian estimation of a competing risk
model based on Weibull and exponential
distributions under right censored data ??
Meriem Cherabli and
Megdouda Ourbih-Tari and
Meriem Boubalou Refined descriptive sampling simulated
annealing algorithm for solving the
traveling salesman problem . . . . . . . ??
Kamal Hiderah Carathéodory approximate solutions for a
class of stochastic differential
equations involving the local time at
point zero with one-sided Lipschitz
continuous drift coefficients . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Haifa Aldossari and
Michael Mascagni Scrambling additive lagged-Fibonacci
generators . . . . . . . . . . . . . . . ??
Dmitriy Kolyukhin and
Karl K. Sabelfeld and
Ivan Dimov Sensitivity analysis of the
concentration transport estimation in a
turbulent flow . . . . . . . . . . . . . ??
David Spade Approximate bounding of mixing time for
multiple-step Gibbs samplers . . . . . . ??
Miguel Casquilho and
Jorge Buescu Standard deviation estimation from sums
of unequal size samples . . . . . . . . ??
Karl K. Sabelfeld and
Viacheslav Sapozhnikov Simulation of transient and spatial
structure of the radiative flux produced
by multiple recombinations of excitons ??
Alexander Konovalov and
Vitaly Vlasov and
Sergey Kolchugin and
Gennady Malyshkin and
Rim Mukhamadiyev Monte Carlo simulation of sensitivity
functions for few-view computed
tomography of strongly absorbing media ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Jem N. Corcoran and
Caleb Miller Controlled accuracy Gibbs sampling of
order-constrained non-iid ordered random
variates . . . . . . . . . . . . . . . . ??
Karl K. Sabelfeld and
Oleg Bukhasheev Global random walk on grid algorithm for
solving Navier--Stokes and Burgers
equations . . . . . . . . . . . . . . . ??
Nikolaos Halidias On the practical point of view of option
pricing . . . . . . . . . . . . . . . . ??
Luai Al-Labadi and
Muhammad Tahir Estimation of entropy and extropy based
on right censored data: a Bayesian
non-parametric approach . . . . . . . . ??
Manfred Harringer Superposition of forward and backward
motion . . . . . . . . . . . . . . . . . ??
Maryam Alsolami and
Michael Mascagni A random walk algorithm to estimate a
lower bound of the star discrepancy . . ??
Karl K. Sabelfeld and
Ivan Aksyuk Simulation of drift-diffusion process at
high Péclet numbers by the random walk on
spheres method . . . . . . . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Getut Pramesti Parameter least-squares estimation for
time-inhomogeneous Ornstein--Uhlenbeck
process . . . . . . . . . . . . . . . . ??
Caiyu Jiao and
Changpin Li Monte Carlo method for parabolic
equations involving fractional Laplacian ??
Yousri Slaoui Methodology for nonparametric bias
reduction in kernel regression
estimation . . . . . . . . . . . . . . . ??
Irina Shalimova and
Karl K. Sabelfeld Development and implementation of
branching random walk on spheres
algorithms for solving the 2D
elastostatics Lamé equation . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Guilhem Balvet and
Jean-Pierre Minier and
Christophe Henry and
Yelva Roustan and
Martin Ferrand A time-step-robust algorithm to compute
particle trajectories in 3-D
unstructured meshes for Lagrangian
stochastic methods . . . . . . . . . . . ??
Mircea Dan Grigoriu Monte Carlo estimates of extremes of
stationary/nonstationary Gaussian
processes . . . . . . . . . . . . . . . ??
Anastasiya Kireeva and
Ivan Aksyuk and
Karl K. Sabelfeld Two stochastic algorithms for solving
elastostatics problems governed by the
Lamé equation . . . . . . . . . . . . . . ??
Maryam Alsolami and
Michael Mascagni A Metropolis random walk algorithm to
estimate a lower bound of the star
discrepancy . . . . . . . . . . . . . . ??
Patricio J. Valades-Pelayo and
Manuel A. Ramirez-Cabrera and
Argelia Balbuena-Ortega Linking the Monte Carlo radiative
transfer algorithm to the radiative
transfer equation . . . . . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Bolong Zhang and
Michael Mascagni Pass-efficient randomized LU algorithms
for computing low-rank matrix
approximation . . . . . . . . . . . . . ??
Pierre Bras and
Gilles Pag\`es Convergence of Langevin-simulated
annealing algorithms with multiplicative
noise II: Total variation . . . . . . . ??
Toshihiro Yamada Total variation bound for Milstein
scheme without iterated integrals . . . ??
Sedigheh Zamani Mehreyan Bootstrap choice of non-nested
autoregressive model with non-normal
innovations . . . . . . . . . . . . . . ??
Az-eddine Zakrad and
Abdelaziz Nasroallah Computation of the steady-state
probability of Markov chain evolving on
a mixed state space . . . . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Guilhem Balvet and
Jean-Pierre Minier and
Yelva Roustan and
Martin Ferrand Analysis of wall-modelled particle/mesh
PDF methods for turbulent parietal flows ??
Evgeniya Kablukova and
Karl K. Sabelfeld and
Dmitry Protasov and
Konstantin Zhuravlev Stochastic simulation of electron
transport in a strong electrical field
in low-dimensional heterostructures . . ??
Karl K. Sabelfeld and
Anastasiya Kireeva Randomized vector iterative linear
solvers of high precision for large
dense system . . . . . . . . . . . . . . ??
Ines Lescheb and
Walid Slimani On the stationarity and existence of
moments of the periodic EGARCH process ??
Hadjer Nita and
Fa\"\irouz Afroun and
Mouloud Cherfaoui and
Djamil A\"\issani Statistical analysis of the estimates of
some stationary performances of the
unreliable M/M/1/N queue with Bernoulli
feedback . . . . . . . . . . . . . . . . ??
Anonymous Frontmatter . . . . . . . . . . . . . . ??
Nikolaos Halidias Option pricing: Examples and open
problems . . . . . . . . . . . . . . . . ??
Alex Rodrigo dos Santos Sousa A wavelet-based method in aggregated
functional data analysis . . . . . . . . ??
Faiz Bahaj and
Kamal Hiderah Existence and uniqueness of solutions
for perturbed stochastic differential
equations with reflected boundary . . . ??
Getut Pramesti and
Ristu Saptono On the estimation of periodic signals in
the diffusion process using a
high-frequency scheme . . . . . . . . . ??
Emmanuel Coffie Strong approximation of a two-factor
stochastic volatility model under local
Lipschitz condition . . . . . . . . . . ??
Irina Shalimova and
Karl Sabelfeld Random walk on spheres method for
solving anisotropic transient diffusion
problems and flux calculations . . . . . ??
Yasmina Djabali and
Sedda Hakmi and
Nabil Zougab and
Djamil A\"\issani Asymmetric kernel method in the study of
strong stability of the PH/M/1 queuing
system . . . . . . . . . . . . . . . . . ??