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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Cited in

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Geometric ergodicity in a weighted Sobolev space
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
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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
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
A Multilevel Simulation Optimization Approach for Quantile Functions
Improved cross-entropy method for estimation
Efficient Monte Carlo simulation for integral functionals of Brownian motion
Derivatives of the stochastic growth rate
Bounded Relative Error Importance Sampling and Rare Event Simulation
Hybrid scheme for Brownian semistationary processes
Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
The sample size required in importance sampling
Exact simulation of the stationary distribution of the FIFO M/G/c queue: the general case for \(\rho < c\)

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