Stochastic simulation: Algorithms and analysis
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Publication:2644072
Gaussian processesnumerical integrationstochastic optimizationMonte Carlo methodsrandom number generationMarkov chainsstochastic differential equationsbranching processescomputational efficiencyderivative estimationtextbooknumerical algorithmsstatistical simulationrare-event simulationconvergence propertiesstochastic algorithmsblack-box algorithmsoutput analysissampling strategiessteady state simulationsampling-based methodsvariance-reductionsimulation of queuesLévy processes
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- 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
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- 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
- Adaptive importance sampling for network growth models
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- Aggregation of rapidly varying risks and asymptotic independence
- Steady-state simulation of reflected Brownian motion and related stochastic networks
- A risk model with renewal shot-noise Cox process
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Exact tail asymptotics of the supremum attained by a Lévy process
- Refined large deviations asymptotics for Markov-modulated infinite-server systems
- The coalescence of intrahost HIV lineages under symmetric CTL attack
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Estimation of integrals with respect to infinite measures using regenerative sequences
- Efficient finite-difference method for computing sensitivities of biochemical reactions
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- Paid-incurred chain claims reserving method
- Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
- Analysis of adaptive multilevel splitting algorithms in an idealized case
- Approximation and simulation of infinite-dimensional Lévy processes
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Equivalence and nonequivalence of ensembles: thermodynamic, macrostate, and measure levels
- Control Theory and Experimental Design in Diffusion Processes
- Computing return times or return periods with rare event algorithms
- Multilevel estimation of expected exit times and other functionals of stopped diffusions
- Exact Monte Carlo simulation of killed diffusions
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Density estimation by randomized quasi-Monte Carlo
- Fast computation of high-dimensional multivariate normal probabilities
- Markov chain importance sampling with applications to rare event probability estimation
- Rare-event probability estimation with conditional Monte Carlo
- The splitting method for decision making
- Fixed Precision MCMC Estimation by Median of Products of Averages
- Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- State-dependent importance sampling for regularly varying random walks
- Denoising Monte Carlo sensitivity estimates
- Exact simulation of IG-OU processes
- DGM: a deep learning algorithm for solving partial differential equations
- Boundary crossing of order statistics point processes
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Chance-constrained problems and rare events: an importance sampling approach
- On the Laplace transform of the lognormal distribution
- Efficient Monte Carlo for high excursions of Gaussian random fields
- A general control variate method for option pricing under Lévy processes
- A large-deviations analysis of Markov-modulated infinite-server queues
- Efficient simulation for dependent rare events with applications to extremes
- Numerical methods for Lévy processes
- Lévy processes with two-sided reflection
- Markov chain Monte Carlo confidence intervals
- Approximating zero-variance importance sampling in a reliability setting
- Deep Learning for Marginal Bayesian Posterior Inference with Recurrent Neural Networks
- A new proof of convergence of MCMC via the ergodic theorem
- Simulation-based confidence bounds for two-stage stochastic programs
- On the tail asymptotics of the area swept under the Brownian storage graph
- Regeneration-enriched Markov processes with application to Monte Carlo
- Multi-element stochastic spectral projection for high quantile estimation
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- On adaptive stratification
- A stochastic quasi-Newton method for large-scale optimization
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