Stochastic simulation: Algorithms and analysis

MaRDI QIDQ2644072zbMATHFDO

Authors Peter W. Glynn, Søren Asmussen

Publication date 7 September 2007

Published in Stochastic Modelling and Applied Probability (Search for Journal in Brave)

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Geometric ergodicity in a weighted Sobolev space
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Excessive backlog probabilities of two parallel queues
Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models
Generalized parallel tempering on Bayesian inverse problems
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Approximating the Laplace transform of the sum of dependent lognormals
Fast methods for computing centroidal Laguerre tessellations for prescribed volume fractions with applications to microstructure generation of polycrystalline materials
Static network reliability estimation under the Marshall-Olkin copula
On the exit time from open sets of some semi-Markov processes
On the effective dimension and multilevel Monte Carlo
Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
Systemic risk and default clustering for large financial systems
Multilevel Monte Carlo approximation of functions
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Approximation of excessive backlog probabilities of two tandem queues
Geometric integrators and the Hamiltonian Monte Carlo method
Assessing the impact of jumps in an option pricing model: a gradient estimation approach
Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
Importance sampling for maxima on trees
Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
A Koopman framework for rare event simulation in stochastic differential equations
Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
An efficient simulation algorithm for the generalized von Mises distribution of order two
On accelerating Monte Carlo integration using orthogonal projections
Modeling past-dependent partial repairs for condition-based maintenance of continuously deteriorating systems
Large deviations of empirical measures of diffusions in weighted topologies
Mortality risk management under the factor copula framework -- with applications to insurance policy pools
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
Low variance couplings for stochastic models of intracellular processes with time-dependent rate functions
Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
Large deviations for the empirical measure of the zig-zag process
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Sensitivity analysis for rare events based on Rényi divergence
Exact simulation for the first hitting time of Brownian motion and Brownian bridge
Sequential stratified splitting for efficient Monte Carlo integration
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
Product-form estimators: exploiting independence to scale up Monte Carlo
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
On testing pseudorandom generators via statistical tests based on the arcsine law
Adaptive sampling line search for local stochastic optimization with integer variables
Plateau proposal distributions for adaptive component-wise multiple-try metropolis
A deep learning Galerkin method for the second-order linear elliptic equations
Unbiased MLMC stochastic gradient-based optimization of Bayesian experimental designs
Rare event simulation for steady-state probabilities via recurrency cycles
A rare-event simulation algorithm for periodic single-server queues
Moments and polynomial expansions in discrete matrix-analytic models
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Copula sensitivity analysis for portfolio credit derivatives
Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds
Quantum algorithm and circuit design solving the Poisson equation
Adaptive sampling of large deviations
Large deviations for weighted empirical measures arising in importance sampling
Algorithms for Kullback-Leibler approximation of probability measures in infinite dimensions
The empirical likelihood approach to quantifying uncertainty in sample average approximation
Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
Rare event simulation for multiscale diffusions in random environments
Sharp asymptotics for large portfolio losses under extreme risks
A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
Frequency-domain deviational Monte Carlo method for linear oscillatory gas flows
Markov Bridges, Bisection and Variance Reduction
Robust bounds in multivariate extremes
Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
Sequential estimation for prescribed statistical accuracy in stochastic simulation of biological systems
On an automatic and optimal importance sampling approach with applications in finance
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Ruin by dynamic contagion claims
Coupling from the past with randomized quasi-Monte Carlo
On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
Monte Carlo estimation of the density of the sum of dependent random variables
Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process
\(V\)-uniform ergodicity for state-dependent single class queueing networks
Minimizing the Maximum Expected Waiting Time in a Periodic Single-Server Queue with a Service-Rate Control
Backward coalescence times for perfect simulation of chains with infinite memory
Tail asymptotics of light-tailed Weibull-like sums
Scaling properties of weakly self-avoiding fractional Brownian motion in one dimension
Exact estimation for Markov chain equilibrium expectations
Exact simulation of Ornstein–Uhlenbeck tempered stable processes
A theoretical examination of diffusive molecular dynamics
Importance sampling in path space for diffusion processes with slow-fast variables
On the validity of the batch quantile method for Markov chains
Sensitivity analysis for diffusion processes constrained to an orthant
Shapley Effects for Global Sensitivity Analysis: Theory and Computation
A probabilistic method for certification of analytically redundant systems
Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
Stationary workload and service times for some nonwork-conserving M/G/1 preemptive LIFO queues

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