Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
queueMarkov chainsMarkov processesMarkov processes with jumpsmartingalesmonographMonte Carlo methodsneutron transportPoisson processeslogarithmic Sobolev inequalityrejection methodsimulationsstochastic algorithmstochastic numerical methods for partial differential equationsstopping timesstrong law of large numbersvariance reductionerror estimatesasymptotic confidenceBermuda European optionbirth and death processescentral limit theoremcontrol variates method variance reductionconvergence ratesdiscretization of stochastic differential equationsdistributionsalgorithmFeynman-Kac formulaFokker-Planck equationintervalItô stochastic calculusItô's formulakinetic equationsKolmogorov equations
Queueing theory (aspects of probability theory) (60K25) Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) General theory of simulation (00A72) Computational methods in Markov chains (60J22) Discrete-time Markov processes on general state spaces (60J05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Pseudo-random numbers; Monte Carlo methods (11K45)
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- Simulation of stochastic processes with given accuracy and reliability
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- Stochastic simulation and Monte-Carlo methods.
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- Multivariate Monte Carlo approximation based on scattered data
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- Derivative-Free Bayesian Inversion Using Multiscale Dynamics
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- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
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- On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
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- Monte Carlo algorithms.
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- Monte Carlo methods with infinite variances
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