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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- A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients
- Unbiased simulation of distributions with explicitly known integral transforms
- A CLT for infinitely stratified estimators, with applications to debiased MLMC
- 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
- Inference via low-dimensional couplings
- Algorithm 955: Approximation of the inverse Poisson cumulative distribution function
- 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
- scientific article; zbMATH DE number 7290853 (Why is no real title available?)
- 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
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- Rare event simulation for a slotted time M/G/s model
- Exact asymptotics of sample-mean-related rare-event probabilities
- Modeling of a diffusion with aggregation: rigorous derivation and numerical simulation
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Importance sampling for metastable and multiscale dynamical systems
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Efficient algorithms for tail probabilities of exchangeable lognormal sums
- Simulating random variables using moment-generating functions and the saddlepoint approximation
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- Simulating events of unknown probabilities via reverse time martingales
- A broad view of queueing theory through one issue
- Importance sampling the union of rare events with an application to power systems analysis
- Pricing and risk of swing contracts in natural gas markets
- Editorial: rare-event simulation for queues
- Probabilistic bisection converges almost as quickly as stochastic approximation
- A painless intrusive polynomial chaos method with RANS-based applications
- Generalized birthday problems in the large-deviations regime
- Comments on: ``Polling: past, present and perspective
- Control variates and conditional Monte Carlo for basket and Asian options
- Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations
- Efficient large deviation estimation based on importance sampling
- On a stochastic neuronal model integrating correlated inputs
- Transformations and Hardy-Krause variation
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- On the generalization of the hazard rate twisting-based simulation approach
- Scalable information inequalities for uncertainty quantification
- A unified framework for stochastic optimization
- Simulation and the Monte Carlo method
- Variational and optimal control representations of conditioned and driven processes
- Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
- Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
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