Monte Carlo Methods and Applications Short Title: Monte Carlo Methods Appl. Publisher: De Gruyter, Berlin ISSN: 0929-9629; 1569-3961/e Online: http://www.degruyter.com/view/j/mcma Comments: Journal; Indexed cover-to-cover Documents Indexed: 628 Publications (since 1995) References Indexed: 342 Publications with 6,435 References. all top 5 Latest Issues 29, No. 3 (2023) 29, No. 2 (2023) 29, No. 1 (2023) 28, No. 4 (2022) 28, No. 3 (2022) 28, No. 2 (2022) 28, No. 1 (2022) 27, No. 4 (2021) 27, No. 3 (2021) 27, No. 2 (2021) 27, No. 1 (2021) 26, No. 4 (2020) 26, No. 3 (2020) 26, No. 2 (2020) 26, No. 1 (2020) 25, No. 4 (2019) 25, No. 3 (2019) 25, No. 2 (2019) 25, No. 1 (2019) 24, No. 4 (2018) 24, No. 3 (2018) 24, No. 2 (2018) 24, No. 1 (2018) 23, No. 4 (2017) 23, No. 3 (2017) 23, No. 2 (2017) 23, No. 1 (2017) 22, No. 4 (2016) 22, No. 3 (2016) 22, No. 2 (2016) 22, No. 1 (2016) 21, No. 4 (2015) 21, No. 3 (2015) 21, No. 2 (2015) 21, No. 1 (2015) 20, No. 4 (2014) 20, No. 3 (2014) 20, No. 2 (2014) 20, No. 1 (2014) 19, No. 4 (2013) 19, No. 3 (2013) 19, No. 2 (2013) 19, No. 1 (2013) 18, No. 4 (2012) 18, No. 3 (2012) 18, No. 2 (2012) 18, No. 1 (2012) 17, No. 4 (2011) 17, No. 3 (2011) 17, No. 2 (2011) 17, No. 1 (2011) 16, No. 3-4 (2010) 16, No. 2 (2010) 16, No. 1 (2010) 15, No. 4 (2009) 15, No. 3 (2009) 15, No. 2 (2009) 15, No. 1 (2009) 14, No. 4 (2008) 14, No. 3 (2008) 14, No. 2 (2008) 14, No. 1 (2008) 13, No. 5-6 (2007) 13, No. 4 (2007) 13, No. 3 (2007) 13, No. 2 (2007) 13, No. 1 (2007) 12, No. 5-6 (2006) 12, No. 3-4 (2006) 12, No. 2 (2006) 12, No. 1 (2006) 11, No. 4 (2005) 11, No. 3 (2005) 11, No. 2 (2005) 11, No. 1 (2005) 10, No. 3-4 (2004) 10, No. 2 (2004) 10, No. 1 (2004) 9, No. 4 (2003) 9, No. 3 (2003) 9, No. 2 (2003) 9, No. 1 (2003) 8, No. 4 (2002) 8, No. 3 (2002) 8, No. 2 (2002) 8, No. 1 (2002) 7, No. 3-4 (2001) 7, No. 1-2 (2001) 6, No. 4 (2000) 6, No. 3 (2000) 6, No. 2 (2000) 6, No. 1 (2000) 5, No. 4 (1999) 5, No. 3 (1999) 5, No. 2 (1999) 5, No. 1 (1999) 4, No. 4 (1998) 4, No. 3 (1998) 4, No. 2 (1998) 4, No. 1 (1998) ...and 10 more Volumes all top 5 Authors 68 Sabelfeld, Karl Karlovich 21 Mascagni, Michael V. 16 Kurbanmuradov, Orazgeldi 12 Shalimova, Irina A. 11 Pagès, Gilles 11 Sobol’, Il’ya Meerovich 10 Kolyukhin, Dmitry Romanovich 8 Dimov, Ivan Todor 8 Levykin, Alexander I. 8 Mori, Makoto 8 Wagner, Wolfgang 7 Ermakov, Sergeĭ Mikhaĭlovich 7 Halton, John H. 7 Kolodko, Anastasya A. 7 Nasroallah, Abdelaziz 7 Ogawa, Shigeyoshi 7 Shukhman, Boris V. 7 Yamada, Toshihiro 6 Grecksch, Wilfried 6 Halidias, Nikolaos 6 Kozachenko, Yuriĭ Vasyl’ovych 6 Simonov, Nikolai A. 6 Voĭtishek, Anton Vaclavovich 5 Egorov, Aleksandr Dmitrievich 5 Gobet, Emmanuel 5 Grigoriu, Mircea Dan 5 Lejay, Antoine 5 Maire, Sylvain 5 Nadarajah, Saralees 5 Ökten, Giray 5 Tempone, Raúl F. 5 Tuffin, Bruno 4 Hiderah, Kamal 4 Jourdain, Benjamin 4 Karaivanova, Aneta 4 Kraft, Markus 4 Lécot, Christian 4 Lelong, Jérôme 4 Printems, Jacques 4 Saleeby, Elias George 4 Sugita, Hiroshi 4 Takashima, Keizo 4 Zio, Enrico 3 Alaoui, Mohammed 3 Atanassov, Emanouil I. 3 Baliti, Jamal 3 Bally, Vlad 3 Borisov, N. M. 3 Bouazza, Abdelkader 3 Chi, Hongmei 3 Guiaş, Flavius 3 Hausenblas, Erika 3 Heinz, Stefan 3 Hin, Lin-Yee 3 Hssikou, Mohamed 3 Hwang, Chi-Ok 3 Kawai, Reiichiro 3 Kireeva, Anastasiya E. 3 Lang, Annika 3 Li, Yaohang 3 Minier, Jean-Pierre 3 Nedjalkov, Mihail 3 Ourbih-Tari, Megdouda 3 Panin, M. P. 3 Pham, Huong Thi Thu 3 Platen, Eckhard 3 Rogasinsky, Sergey V. 3 Rowe, Daniel B. 3 Russo, Francesco 3 Sahoo, L. N. 3 Schoenmakers, John G. M. 3 Selberherr, Siegfried 3 Shkarupa, Elena V. 3 Smidts, O. F. 3 Tanré, Etienne 3 Tichy, Robert Franz 3 Uhl, Andreas 3 Warin, Xavier 3 Yaguchi, Hirotake 2 Aksyuk, Ivan 2 Albrecher, Hansjörg 2 Aloui, Abdelouhab 2 Alsolami, Maryam 2 Anh, Vo V. 2 Antipov, M. V. 2 Antyufeev, Victor S. 2 Arsham, Hossein 2 Averina, Tat’yana Aleksandrovna 2 Benabdallah, Mohsine 2 Bishwal, Jaya P. N. 2 Bossy, Mireille 2 Boubalou, Meriem 2 Bouleau, Nicolas 2 Bounnite, Mohamed Yasser 2 Campillo, Fabien 2 Caramellino, Lucia 2 Chatterjee, Kausik 2 Chauhan, Manmohan Singh 2 Corcoran, Jem N. 2 Dick, Josef ...and 652 more Authors all top 5 Fields 487 Numerical analysis (65-XX) 230 Probability theory and stochastic processes (60-XX) 108 Statistics (62-XX) 78 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 65 Fluid mechanics (76-XX) 64 Statistical mechanics, structure of matter (82-XX) 55 Number theory (11-XX) 52 Partial differential equations (35-XX) 23 Integral equations (45-XX) 20 Computer science (68-XX) 18 Ordinary differential equations (34-XX) 15 Dynamical systems and ergodic theory (37-XX) 13 Geophysics (86-XX) 13 Biology and other natural sciences (92-XX) 12 Operations research, mathematical programming (90-XX) 12 Systems theory; control (93-XX) 11 Quantum theory (81-XX) 7 General and overarching topics; collections (00-XX) 7 Optics, electromagnetic theory (78-XX) 6 Measure and integration (28-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 6 Mechanics of deformable solids (74-XX) 5 Classical thermodynamics, heat transfer (80-XX) 5 Information and communication theory, circuits (94-XX) 4 Real functions (26-XX) 4 Convex and discrete geometry (52-XX) 3 Approximations and expansions (41-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Functional analysis (46-XX) 2 Astronomy and astrophysics (85-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Algebraic geometry (14-XX) 1 Potential theory (31-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Differential geometry (53-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 368 Publications have been cited 1,911 times in 1,422 Documents Cited by ▼ Year ▼ On the discretization schemes for the CIR (and Bessel squared) processes. Zbl 1100.65007Alfonsi, Aurélien 82 2005 The law of the Euler scheme for stochastic differential equations. II: Convergence rate of the density. Zbl 0866.60049Bally, Vlad; Talay, Denis 70 1996 Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012Pagés, Gilles; Printems, Jacques 55 2003 Balanced Milstein methods for ordinary SDEs. Zbl 1105.65009Kahl, Christian; Schurz, Henri 43 2006 Functional quantization for numerics with an application to option pricing. Zbl 1161.91402Pagès, Gilles; Printems, Jacques 39 2005 A general method for debiasing a Monte Carlo estimator. Zbl 1238.65004McLeish, Don 30 2011 Adaptative Monte Carlo method, a variance reduction technique. Zbl 1063.65003Arouna, Bouhari 29 2004 A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization. Zbl 1294.60085Kharroubi, Idris; Langrené, Nicolas; Pham, Huyên 28 2014 On a Monte Carlo scheme for Smoluchowski’s coagulation equation. Zbl 0937.76058Babovsky, Hans 24 1999 Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems. Zbl 1375.65007Sabelfeld, Karl K. 23 2017 Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. Zbl 1269.65007Étoré, Pierre; Martinez, Miguel 23 2013 A mathematical formalization of the parallel replica dynamics. Zbl 1243.82045Le Bris, Claude; Lelièvre, Tony; Luskin, Mitchell; Perez, Danny 22 2012 A benchmark study of the Wigner Monte Carlo method. Zbl 1285.81044Sellier, Jean Michel; Nedjalkov, Mihail; Dimov, Ivan; Selberherr, Siegfried 22 2014 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 21 2009 Stable ROW-type weak scheme for stochastic differential equations. Zbl 0841.65146Komori, Yoshio; Mitsui, Taketomo 21 1995 Random walk on spheres method for solving drift-diffusion problems. Zbl 1354.65265Sabelfeld, Karl K. 20 2016 Implementation and analysis of an adaptive multilevel Monte Carlo algorithm. Zbl 1284.65011Hoel, Håkon; von Schwerin, Erik; Szepessy, Anders; Tempone, Raúl 20 2014 Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425Bally, Vlad; Caramellino, Lucia; Zanette, Antonino 19 2005 Monte Carlo estimators for small sensitivity indices. Zbl 1138.65004Sobol’, I. M.; Myshetskaya, E. E. 18 2007 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 18 2018 Edgeworth type expansions for Euler schemes for stochastic differential equations. Zbl 1028.65005Konakov, Valentin; Mammen, Enno 17 2002 Quasi-Monte Carlo methods for numerical integration: Comparison of different low discrepancy sequences. Zbl 0851.65015Radović, Igor; Sobol’, Ilya M.; Tichy, Robert F. 17 1996 Numerical approximation of BSDEs using local polynomial drivers and branching processes. Zbl 1386.65012Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier; Zou, Yiyi 17 2017 Fast simulation of Gaussian random fields. Zbl 1226.65008Lang, Annika; Potthoff, Jürgen 16 2011 Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes. Zbl 1232.65016Kawai, Reiichiro; Masuda, Hiroki 16 2011 A stochastic quantization method for nonlinear problems. Zbl 1035.65008Bally, Vlad; Pagès, Gilles; Printems, Jacques 16 2001 Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulation. Zbl 0848.65093Sabelfeld, K. K.; Rogasinsky, S. V.; Kolodko, A. A.; Levykin, A. I. 15 1996 On the use of low discrepancy sequences in Monte Carlo methods. Zbl 0868.65010Tuffin, Bruno 15 1996 Upper bounds for Bermudan style derivatives. Zbl 1096.91027Kolodko, A.; Schoenmakers, J. 14 2004 Minimal entropy approximations and optimal algorithms. Zbl 1018.65014Crisan, Dan; Lyons, Terry 13 2002 Stochastic spectral and Fourier-wavelet methods for vector Gaussian random fields. Zbl 1121.65013Kurbanmuradov, O.; Sabelfeld, K. 13 2006 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 13 2018 Component-by-component construction of low-discrepancy point sets of small size. Zbl 1156.11030Doerr, Benjamin; Gnewuch, Michael; Kritzer, Peter; Pillichshammer, Friedrich 12 2008 A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications. Zbl 0868.65011Ökten, Giray 12 1996 A Monte Carlo approach to the Smoluchowski equations. Zbl 0890.65074Guiaş, Flavius 12 1997 Weak rate of convergence for an Euler scheme of nonlinear SDE’s. Zbl 0890.65147Kohatsu-Higa, Arturo; Ogawa, Shigeyoshi 12 1997 Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Zbl 1076.60060Pham, Huyên; Runggaldier, Wolfgang; Sellami, Afef 12 2005 Special quasirandom structures: a selection approach for stochastic homogenization. Zbl 1334.35450Le Bris, Claude; Legoll, Frédéric; Minvielle, William 12 2016 Deviational particle Monte Carlo for the Boltzmann equation. Zbl 1158.82002Wagner, Wolfgang 11 2008 Sparsified randomization algorithms for large systems of linear equations and a new version of the random walk on boundary method. Zbl 1180.65007Sabelfeld, K.; Mozartova, N. 11 2009 On global sensitivity analysis of quasi-Monte Carlo algorithms. Zbl 1072.65004Sobol’, I. M.; Kucherenko, S. S. 11 2005 Simulating a diffusion on a graph. Application to reservoir engineering. Zbl 1072.76062Lejay, Antoine 11 2003 A partial sampling method applied to the Kusuoka approximation. Zbl 1046.65007Ninomiya, Syoiti 11 2003 Rate of weak convergence of the Euler approximation for diffusion processes with jumps. Zbl 0996.65003Kubilius, Kestutis; Platen, Eckhard 10 2002 The \(\Theta\)-Maruyama scheme for stochastic functional differential equations with distributed memory term. Zbl 1071.65004Buckwar, Evelyn 10 2004 Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004Pagès, Gilles 10 2007 Stochastic particle methods for Smoluchowski coagulation equation: Variance reduction and error estimations. Zbl 1052.76056Kolodko, A.; Sabelfeld, K. 10 2003 A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101Naito, Riu; Yamada, Toshihiro 10 2019 A framework for adaptive Monte Carlo procedures. Zbl 1223.65003Lapeyre, Bernard; Lelong, Jérôme 10 2011 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A. 10 2015 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 10 2015 A parallel algorithm for solving BSDEs. Zbl 1263.65005Labart, Céline; Lelong, Jérôme 10 2013 Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055Albrecher, Hansjörg; Kantor, Josef 9 2002 Adaptive weak approximation of reflected and stopped diffusions. Zbl 1196.65029Bayer, Christian; Szepessy, Anders; Tempone, Raúl 9 2010 Pseudo-random number generator by means of irrational rotation. Zbl 0827.65002Sugita, Hiroshi 9 1995 Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059Laruelle, Sophie; Pagès, Gilles 9 2012 Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236Halidias, Nikolaos 9 2015 Monte Carlo difference schemes for the wave equation. Zbl 1002.65005Ermakov, Sergej M.; Wagner, Wolfgang 8 2002 Integral formulation of the boundary value problems and the method of random walk on spheres. Zbl 0824.65127Sabelfeld, K. K.; Talay, D. 8 1995 Stochastic Lagrangian models for two-particle motion in turbulent flows. Zbl 0903.76040Sabelfeld, K. K.; Kurbanmuradov, O. 8 1997 Comparison of a stochastic particle method and a finite volume deterministic method applied to Burgers equation. Zbl 0962.65075Bossy, Mireille; Fezoui, Loula; Piperno, Serge 8 1997 Stochastic Lagrangian models for two-particle motion in turbulent flows. Numerical results. Zbl 0891.76048Kurbanmuradov, O.; Sabelfeld, K.; Koluhin, D. 8 1997 Expansion of random boundary excitations for elliptic PDEs. Zbl 1158.60027Sabelfeld, Karl 8 2007 Stratified sampling and quasi-Monte Carlo simulation of Lévy processes. Zbl 1113.65004Leobacher, G. 8 2006 Exact retrospective Monte Carlo computation of arithmetic average Asian options. Zbl 1192.91178Jourdain, Benjamin; Sbai, Mohamed 8 2007 Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation. Zbl 1128.65002Kawai, Reiichiro 8 2007 A fractional stochastic evolution equation driven by fractional Brownian motion. Zbl 1049.60056Anh, V. V.; Grecksch, W. 8 2003 Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180Creasey, Peter E.; Lang, Annika 8 2018 Exact simulation of Bessel diffusions. Zbl 1206.65026Makarov, Roman N.; Glew, Devin 8 2010 Stochastic iterative projection methods for large linear systems. Zbl 1206.65135Sabelfeld, Karl; Loshchina, Nadja 8 2010 An importance sampling method based on density transformation of Lévy processes. Zbl 1099.65005Kawai, Reiichiro 7 2006 Towards automatic global error control: Computable weak error expansion for the tau-leap method. Zbl 1241.65006Karlsson, Jesper; Tempone, Raúl 7 2011 Real-time scheme for the volatility estimation in the presence of microstructure noise. Zbl 1151.91529Ogawa, Shigeyoshi 7 2008 Convergence rate for spherical processes with shifted centres. Zbl 1068.65004Golyandina, N. 7 2004 Monte Carlo methods for fissured porous media: a gridless approach. Zbl 1109.76378Lejay, Antoine 7 2004 Direct simulation and mass flow stochastic algorithms to solve a sintering-coagulation equation. Zbl 1076.82028Wells, Clive G.; Kraft, Markus 7 2005 A numerical scheme based on semi-static hedging strategy. Zbl 1303.91190Imamura, Yuri; Ishigaki, Yuta; Okumura, Toshiki 7 2014 An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers. Zbl 1335.60151Dereudre, David; Mazzonetto, Sara; Roelly, Sylvie 7 2016 Efficient schemes for the weak approximation of reflected diffusions. Zbl 0986.65002Gobet, Emmanuel 7 2001 Monte Carlo approximations of the Neumann problem. Zbl 1279.65009Maire, Sylvain; Tanré, Etienne 7 2013 Construction of two dimensional low discrepancy sequences. Zbl 1038.11045Mori, Makoto 6 2002 Quasi-Monte Carlo algorithms for solving linear algebraic equations. Zbl 1121.65003Ermakov, S. M.; Rukavishnikova, A. 6 2006 On a real-time scheme for the estimation of volatility. Zbl 1219.91160Ogawa, Shigeyoshi; Wakayama, Koji 6 2007 Neural network regression for Bermudan option pricing. Zbl 1476.62205Lapeyre, Bernard; Lelong, Jérôme 6 2021 Quasi-probability. Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically. Zbl 1161.62307Halton, John H. 6 2005 Weak first- and second-order numerical schemes for stochastic differential equations appearing in Lagrangian two-phase flow modeling. Zbl 1112.65305Minier, Jean-Pierre; Peirano, Eric; Chibbaro, Sergio 6 2003 A genetic algorithm approach to estimate lower bounds of the star discrepancy. Zbl 1206.11098Shah, Manan 6 2010 A new optimal Monte Carlo method for calculating integrals of smooth functions. Zbl 0945.65017Atanassov, Emanouil I.; Dimov, Ivan T. 6 1999 Theoretical and numerical aspects of stochastic nonlinear Schrödinger equations. Zbl 0989.65002de Bouard, A.; Debussche, A.; Di Menza, L. 6 2001 Preliminary control variates to improve empirical regression methods. Zbl 1392.62106Ben Zineb, Tarik; Gobet, Emmanuel 6 2013 A Taylor space for multivariate integration. Zbl 1103.65007Dick, Josef 5 2006 A best possible upper bound on the star discrepancy of \((t,m,2)\)-nets. Zbl 1103.11022Dick, Josef; Kritzer, Peter 5 2006 Strong approximation of reflecting Brownian motion using penalty method and its application to computer simulation. Zbl 0963.65005Kanagawa, S.; Saisho, Y. 5 2000 Linear congruential generators for parallel Monte Carlo: The leap-frog case. Zbl 0907.65005Entacher, K.; Uhl, A.; Wegenkittl, S. 5 1998 Parallel computations of eigenvalues based on a Monte Carlo approach. Zbl 0903.65032Dimov, Ivan; Karaivanova, Aneta 5 1998 A Monte Carlo method without grid for a fractured porous domain model. Zbl 1116.76445Campillo, Fabien; Lejay, Antoine 5 2002 A central limit theorem for the functional estimation of the spot volatility. Zbl 1182.62167Ngo, Hoang-Long; Ogawa, Shigeyoshi 5 2009 Stochastic Lagrangian models for two-particle relative dispersion in high Reynolds number turbulence. Zbl 0879.76038Kurbanmuradov, O. A. 5 1997 Convergence of a Nanbu type method for the Smoluchowski equation. Zbl 0890.65072Kolodko, Anastasya A.; Wagner, Wolfgang 5 1997 Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficients. Zbl 0890.65073Sabelfeld, K. K.; Kolodko, A. A. 5 1997 A time-step-robust algorithm to compute particle trajectories in 3-D unstructured meshes for Lagrangian stochastic methods. Zbl 07708904Balvet, Guilhem; Minier, Jean-Pierre; Henry, Christophe; Roustan, Yelva; Ferrand, Martin 1 2023 Development and implementation of branching random walk on spheres algorithms for solving the 2D elastostatics Lamé equation. Zbl 1518.65008Shalimova, Irina; Sabelfeld, Karl K. 1 2023 A study of highly efficient stochastic sequences for multidimensional sensitivity analysis. Zbl 1489.65007Dimov, Ivan; Todorov, Venelin; Sabelfeld, Karl 1 2022 Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models. Zbl 1489.65006Ballesio, Marco; Jasra, Ajay 1 2022 A random walk algorithm to estimate a lower bound of the star discrepancy. Zbl 1504.65001Alsolami, Maryam; Mascagni, Michael 1 2022 Neural network regression for Bermudan option pricing. Zbl 1476.62205Lapeyre, Bernard; Lelong, Jérôme 6 2021 On the dependence structure and quality of scrambled \((t,m,s)\)-nets. Zbl 1469.11248Wiart, Jaspar; Lemieux, Christiane; Dong, Gracia Y. 4 2021 A global random walk on grid algorithm for second order elliptic equations. Zbl 07419515Sabelfeld, Karl K.; Smirnov, Dmitrii 3 2021 High order weak approximation for irregular functionals of time-inhomogeneous SDEs. Zbl 1489.60121Yamada, Toshihiro 3 2021 Discretization and machine learning approximation of BSDEs with a constraint on the gains-process. Zbl 1469.65031Kharroubi, Idris; Lim, Thomas; Warin, Xavier 2 2021 Optimal potential functions for the interacting particle system method. Zbl 1469.65012Chraibi, Hassane; Dutfoy, Anne; Galtier, Thomas; Garnier, Josselin 2 2021 Estimating drift and minorization coefficients for Gibbs sampling algorithms. Zbl 1476.60030Spade, David A. 1 2021 Random walk on spheres algorithm for solving steady-state and transient diffusion-recombination problems. Zbl 1480.65012Shalimova, Irina; Sabelfeld, Karl K. 1 2021 A global random walk on grid algorithm for second order elliptic equations. Zbl 1480.65011Sabelfeld, Karl K.; Smirnov, Dmitry; Dimov, Ivan; Todorov, Venelin 1 2021 Global sensitivity analysis of statistical models by double randomization method. Zbl 1480.65008Kolyukhin, Dmitriy 1 2021 Body tail adaptive kernel density estimation for nonnegative heavy-tailed data. Zbl 1467.62059Ziane, Yasmina; Zougab, Nabil; Adjabi, Smail 1 2021 Unbiased estimation of the solution to Zakai’s equation. Zbl 07218632Ruzayqat, Hamza M.; Jasra, Ajay 2 2020 Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations. Zbl 07218633Bourgey, Florian; De Marco, Stefano; Gobet, Emmanuel; Zhou, Alexandre 2 2020 Constructing a confidence interval for the ratio of normal distribution quantiles. Zbl 1466.62316Malekzadeh, Ahad; Mahmoudi, Seyed Mahdi 2 2020 Random walk on ellipsoids method for solving elliptic and parabolic equations. Zbl 1469.65018Shalimova, Irina; Sabelfeld, Karl K. 2 2020 Describing the Pearson \(R\) distribution of aggregate data. Zbl 1436.62215Torres, David J. 1 2020 A Bayesian procedure for bandwidth selection in circular kernel density estimation. Zbl 1436.62117Bedouhene, Kahina; Zougab, Nabil 1 2020 Multilevel Monte Carlo by using the Halton sequence. Zbl 1454.65003Nagy, Shady Ahmed; El-Beltagy, Mohamed A.; Wafa, Mohamed 1 2020 Examining sharp restart in a Monte Carlo method for the linearized Poisson-Boltzmann equation. Zbl 1455.65011Thrasher, W. John; Mascagni, Michael 1 2020 On the density of lines and Santalo’s formula for computing geometric size measures. Zbl 1464.52004El Khaldi, Khaldoun; Saleeby, Elias G. 1 2020 A third-order weak approximation of multidimensional Itô stochastic differential equations. Zbl 1418.60101Naito, Riu; Yamada, Toshihiro 10 2019 A random walk on small spheres method for solving transient anisotropic diffusion problems. Zbl 1495.65007Shalimova, Irina; Sabelfeld, Karl K. 4 2019 A global random walk on spheres algorithm for transient heat equation and some extensions. Zbl 07061111Sabelfeld, Karl K. 4 2019 A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion. Zbl 1425.60062Okano, Yusuke; Yamada, Toshihiro 3 2019 Geometry entrapment in walk-on-subdomains. Zbl 07165108Hamlin, Preston; Thrasher, W. John; Keyrouz, Walid; Mascagni, Michael 3 2019 Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053Pagès, Gilles; Rey, Clément 3 2019 A Monte Carlo method for backward stochastic differential equations with Hermite martingales. Zbl 07061108Pelsser, Antoon; Gnameho, Kossi 3 2019 An aspect of optimal regression design for LSMC. Zbl 07165104Weiß, Christian; Nikolić, Zoran 2 2019 Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems. Zbl 1416.65020Sabelfeld, Karl K. 2 2019 On the sample-mean method for computing hyper-volumes. Zbl 1420.52009Rabiei, Nima; Saleeby, Elias G. 2 2019 Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator “getRDS” and the proposed “getLHS” using variance reduction. Zbl 1418.90085Boubalou, Meriem; Ourbih-Tari, Megdouda; Aloui, Abdelouhab; Zioui, Arezki 2 2019 Quasi-Monte Carlo method for solving Fredholm equations. Zbl 1495.65246Sobol, I. M.; Shukhman, B. V. 1 2019 Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge. Zbl 1432.91138Jang, Hanbyeol; Wang, Jian; Kim, Junseok 1 2019 Particle diffusion Monte Carlo (PDMC). Zbl 1416.65023Zarezadeh, Zakarya; Costantini, Giovanni 1 2019 Analysis of a non-Markovian queueing model: Bayesian statistics and MCMC methods. Zbl 1421.62025Braham, Hayette; Berdjoudj, Louiza; Boualem, Mohamed; Rahmania, Nadji 1 2019 On solving stochastic differential equations. Zbl 1475.65002Ermakov, Sergej M.; Pogosian, Anna A. 1 2019 Comparison of Sobol’ sequences in financial applications. Zbl 07061109Harase, Shin 1 2019 Nesting Monte Carlo for high-dimensional non-linear PDEs. Zbl 07008421Warin, Xavier 18 2018 Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. Zbl 1390.60211Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco 13 2018 Fast generation of isotropic Gaussian random fields on the sphere. Zbl 1386.60180Creasey, Peter E.; Lang, Annika 8 2018 A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation. Zbl 1405.60107Yamada, Toshihiro; Yamamoto, Kenta 5 2018 The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation. Zbl 1497.65011Tamiti, Kenza; Ourbih-Tari, Megdouda; Aloui, Abdelouhab; Idjis, Khelidja 4 2018 Pricing barrier options in the Heston model using the Heath-Platen estimator. Zbl 1408.91232Coskun, Sema; Korn, Ralf 4 2018 Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero. Zbl 07008422Benabdallah, Mohsine; Hiderah, Kamal 4 2018 Probability distribution of the life time of a drift-diffusion-reaction process inside a sphere with applications to transient cathodoluminescence imaging. Zbl 1391.65012Sabelfeld, Karl K.; Kireeva, Anastasiya 3 2018 On the efficient simulation of the left-tail of the sum of correlated log-normal variates. Zbl 1391.65006Alouini, Mohamed-Slim; Ben Rached, Nadhir; Kammoun, Abla; Tempone, Raul 3 2018 On the modeling of linear system input stochastic processes with given accuracy and reliability. Zbl 1391.60072Rozora, Iryna; Lyzhechko, Mariia 3 2018 On average dimensions of particle transport estimators. Zbl 1499.65007Sobol, Ilya M.; Shukhman, Boris V. 3 2018 A hybrid kinetic-thermodynamic Monte Carlo model for simulation of homogeneous burst nucleation. Zbl 1497.65009Sabelfeld, Karl K.; Eremeev, Georgy 3 2018 Random walk on spheres method for solving anisotropic drift-diffusion problems. Zbl 1386.65026Shalimova, Irina; Sabelfeld, Karl K. 3 2018 Simulation of generalized fractional Brownian motion in \(C([0,T])\). Zbl 1398.60057Kozachenko, Yuriy; Pashko, Anatolii; Vasylyk, Olga 2 2018 Weather derivatives pricing using regime switching model. Zbl 1408.91212Evarest, Emmanuel; Berntsson, Fredrik; Singull, Martin; Yang, Xiangfeng 2 2018 A quasi-Monte Carlo implementation of the ziggurat method. Zbl 1436.11097Nguyen, Nguyet; Xu, Linlin; Ökten, Giray 1 2018 Bayesian estimation of ordinary differential equation models when the likelihood has multiple local modes. Zbl 1392.62074Liu, Baisen; Wang, Liangliang; Cao, Jiguo 1 2018 Remarks on randomization of quasi-random numbers. Zbl 1436.11096Ermakov, Sergej M.; Leora, Svetlana N. 1 2018 Markov-chain Monte-Carlo methods and non-identifiabilities. Zbl 1497.65008Müller, Christian; Weysser, Fabian; Mrziglod, Thomas; Schuppert, Andreas 1 2018 Understanding the contribution of energy and angular distribution in the morphology of thin films using Monte Carlo simulation. Zbl 1497.82019Bouazza, Abdelkader; Settaouti, Abderrahmane 1 2018 A new hybrid Cuckoo search and firefly optimization. Zbl 1390.90620Elkhechafi, Mariam; Hachimi, Hanaa; Elkettani, Youssfi 1 2018 Global sensitivity analysis for a stochastic flow problem. Zbl 07008423Kolyukhin, Dmitriy 1 2018 Sampling from the \(\mathcal{G}_I^0\) distribution. 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Zbl 1338.65009Nekrutkin, Vladimir 2 2016 Study and simulation of the sputtering process of material layers in plasma. Zbl 1338.82052Bouazza, Abdelkader; Settaouti, Abderrahmane 2 2016 Information geometry, simulation and complexity in Gaussian random fields. Zbl 1339.60057Levada, Alexandre L. 1 2016 Numerical solution of an inverse problem of coefficient recovering for a wave equation by a stochastic projection methods. Zbl 1323.65103Kabanikhin, Sergey I.; Sabelfeld, Karl K.; Novikov, Nikita S.; Shishlenin, Maxim A. 10 2015 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 10 2015 Constructing positivity preserving numerical schemes for the two-factor CIR model. Zbl 1329.60236Halidias, Nikolaos 9 2015 A new numerical scheme for the CIR process. Zbl 1335.60129Halidias, Nikolaos 5 2015 Optimal switching problems under partial information. Zbl 1327.60034Li, Kai; Nyström, Kaj; Olofsson, Marcus 4 2015 Computing the exit-time for a finite-range symmetric jump process. Zbl 1330.35013Burch, Nathanial; Lehoucq, R. B. 4 2015 A limit theorem for average dimensions. Zbl 1358.11091Shukhman, Boris V.; Sobol, Ilya M. 3 2015 ...and 268 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,915 Authors 62 Sabelfeld, Karl Karlovich 49 Pagès, Gilles 23 Kawai, Reiichiro 19 Dimov, Ivan Todor 16 Jentzen, Arnulf 15 Tempone, Raúl F. 15 Wagner, Wolfgang 15 Yamada, Toshihiro 13 Gobet, Emmanuel 12 Jourdain, Benjamin 12 Maire, Sylvain 12 Ökten, Giray 12 Sellier, Jean Michel 11 Ermakov, Sergeĭ Mikhaĭlovich 11 Kraft, Markus 11 Lejay, Antoine 11 Pham, Huyên 11 Shalimova, Irina A. 10 Bossy, Mireille 10 Jasra, Ajay 10 Kohatsu-Higa, Arturo 10 Lelièvre, Tony 10 Luschgy, Harald 10 Oudjane, Nadia 10 Russo, Francesco 9 Dereich, Steffen 9 Kebaier, Ahmed 9 Schoenmakers, John G. M. 8 Barth, Andrea 8 Gan, Siqing 8 Gnewuch, Michael 8 Mao, Xuerong 8 Mascagni, Michael V. 8 Warin, Xavier 7 Alfonsi, Aurélien 7 Crisan, Dan O. 7 Dick, Josef 7 Giles, Michael B. 7 Hutzenthaler, Martin 7 Komori, Yoshio 7 Lang, Annika 7 L’Ecuyer, Pierre 7 Lelong, Jérôme 7 Lemaire, Vincent 7 Mackevičius, Vigirdas 7 Ogawa, Shigeyoshi 7 Talay, Denis 6 Alaya, Mohamed Ben 6 Bally, Vlad 6 Hosseini, Seyed Mohammad 6 Kharrat, Mohamed 6 Kolyukhin, Dmitry Romanovich 6 Kozachenko, Yuriĭ Vasyl’ovych 6 Kritzer, Peter 6 Kruse, Thomas 6 Kurbanmuradov, Orazgeldi 6 Law, Kody J. H. 6 McKibben, Mark Anthony 6 Menozzi, Stéphane 6 Panloup, Fabien 6 Pillichshammer, Friedrich 6 Ritter, Klaus 6 Sagna, Abass 6 Zhao, Weidong 5 Bandini, Elena 5 Barczy, Mátyás 5 Bayer, Christian 5 Bender, Christian 5 Bréhier, Charles-Edouard 5 Buckwar, Evelyn 5 Burrage, Kevin 5 Callegaro, Giorgia 5 Caramellino, Lucia 5 Haji-Ali, Abdul-Lateef 5 Halidias, Nikolaos 5 Konakov, Valentin 5 Lécot, Christian 5 Mori, Makoto 5 Moulines, Eric 5 Nasroallah, Abdelaziz 5 Nectoux, Boris 5 Ngo, Hoang-Long 5 Nobile, Fabio 5 Ourbih-Tari, Megdouda 5 Prieur, Clémentine 5 Rásonyi, Miklós 5 Rey, Clément 5 Sabino, Piergiacomo 5 Shkarupa, Elena V. 5 Sobol’, Il’ya Meerovich 5 Stamatiou, Ioannis S. 5 Sun, Yabing 5 Taguchi, Dai 5 Volkov, Vladimir T. 5 Yaroslavtseva, Larisa 4 Aristoff, David 4 Bardou, Olivier 4 Beck, Christian 4 Belomestny, Denis 4 Belopol’skaya, Yana Isaevna ...and 1,815 more Authors all top 5 Cited in 306 Journals 142 Monte Carlo Methods and Applications 57 Journal of Computational Physics 55 Journal of Computational and Applied Mathematics 45 Stochastic Processes and their Applications 43 The Annals of Applied Probability 30 Mathematics and Computers in Simulation 28 Journal of Complexity 27 Quantitative Finance 23 Stochastic Analysis and Applications 22 Methodology and Computing in Applied Probability 19 Applied Numerical Mathematics 18 Bernoulli 17 BIT 17 SIAM Journal on Scientific Computing 16 Applied Mathematics and Computation 15 Vestnik St. Petersburg University. Mathematics 13 Mathematics of Computation 13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 13 International Journal of Theoretical and Applied Finance 13 SIAM Journal on Financial Mathematics 12 SIAM Journal on Numerical Analysis 12 Statistics and Computing 12 SIAM/ASA Journal on Uncertainty Quantification 11 Annals of Operations Research 10 Communications in Statistics. Simulation and Computation 9 Computers & Mathematics with Applications 9 Statistics & Probability Letters 9 Numerical Algorithms 9 International Journal of Computer Mathematics 9 Finance and Stochastics 9 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 8 Journal of Statistical Planning and Inference 8 Insurance Mathematics & Economics 8 Journal of Scientific Computing 8 Journal of Statistical Computation and Simulation 8 Applied Mathematical Finance 8 Electronic Journal of Statistics 7 Computer Physics Communications 7 Journal of Statistical Physics 7 The Annals of Statistics 7 Applied Mathematics and Optimization 7 Numerische Mathematik 7 Applied Mathematics Letters 7 Applied Mathematical Modelling 7 Communications in Statistics. Theory and Methods 7 European Journal of Operational Research 7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 Stochastics 7 Stochastic and Partial Differential Equations. Analysis and Computations 7 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 6 Computer Methods in Applied Mechanics and Engineering 6 Journal of Mathematical Analysis and Applications 6 Physica A 6 Journal of Applied Probability 6 Mathematics of Operations Research 6 Mathematical and Computer Modelling 6 Japan Journal of Industrial and Applied Mathematics 6 Computational Statistics 6 Electronic Journal of Probability 6 Mathematical Finance 6 Modern Stochastics. Theory and Applications 5 Advances in Applied Probability 5 Lithuanian Mathematical Journal 5 Journal of Approximation Theory 5 Journal of Theoretical Probability 5 Theory of Probability and Mathematical Statistics 5 Statistical Papers 5 Foundations of Computational Mathematics 5 Discrete and Continuous Dynamical Systems. Series B 5 Asia-Pacific Financial Markets 4 Computers and Fluids 4 Journal of Fluid Mechanics 4 Journal of Econometrics 4 Operations Research 4 SIAM Journal on Control and Optimization 4 Physica D 4 Probability Theory and Related Fields 4 Computational Mathematics and Mathematical Physics 4 Physics of Fluids 4 Journal of Mathematical Sciences (New York) 4 Journal of Inverse and Ill-Posed Problems 4 Combustion Theory and Modelling 4 Stochastic Models 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Acta Numerica 4 Statistical Methods and Applications 3 Theory of Probability and its Applications 3 Automatica 3 Journal of Functional Analysis 3 Operations Research Letters 3 Statistical Science 3 Journal of Economic Dynamics & Control 3 Journal de Mathématiques Pures et Appliquées. Neuvième Série 3 Advances in Computational Mathematics 3 Abstract and Applied Analysis 3 LMS Journal of Computation and Mathematics 3 Communications in Nonlinear Science and Numerical Simulation 3 Matematicheskoe Modelirovanie 3 Multiscale Modeling & Simulation 3 Computational Management Science ...and 206 more Journals all top 5 Cited in 42 Fields 831 Numerical analysis (65-XX) 786 Probability theory and stochastic processes (60-XX) 283 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 257 Statistics (62-XX) 185 Partial differential equations (35-XX) 98 Statistical mechanics, structure of matter (82-XX) 80 Systems theory; control (93-XX) 79 Fluid mechanics (76-XX) 73 Ordinary differential equations (34-XX) 64 Operations research, mathematical programming (90-XX) 63 Number theory (11-XX) 46 Computer science (68-XX) 42 Biology and other natural sciences (92-XX) 33 Calculus of variations and optimal control; optimization (49-XX) 25 Quantum theory (81-XX) 22 Approximations and expansions (41-XX) 21 Integral equations (45-XX) 19 Dynamical systems and ergodic theory (37-XX) 19 Mechanics of deformable solids (74-XX) 17 Information and communication theory, circuits (94-XX) 16 Geophysics (86-XX) 12 Operator theory (47-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 9 Combinatorics (05-XX) 9 Special functions (33-XX) 9 Global analysis, analysis on manifolds (58-XX) 9 Classical thermodynamics, heat transfer (80-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 8 Measure and integration (28-XX) 8 Functional analysis (46-XX) 5 Mechanics of particles and systems (70-XX) 5 Optics, electromagnetic theory (78-XX) 4 General and overarching topics; collections (00-XX) 4 Convex and discrete geometry (52-XX) 3 Real functions (26-XX) 3 Potential theory (31-XX) 2 Difference and functional equations (39-XX) 2 Integral transforms, operational calculus (44-XX) 2 Astronomy and astrophysics (85-XX) 1 Nonassociative rings and algebras (17-XX) 1 Group theory and generalizations (20-XX) 1 Algebraic topology (55-XX) Citations by Year