Stochastic simulation: Algorithms and analysis

zbMATH Open1126.65001MaRDI QIDQ2644072FDOQ2644072

Publication date: 7 September 2007

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

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zbMATH Keywords

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, stochastic differential equations (65Cxx)

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Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools
Adaptive sampling line search for local stochastic optimization with integer variables
Plateau proposal distributions for adaptive component-wise multiple-try metropolis
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Exact simulation for the first hitting time of Brownian motion and Brownian bridge
Sensitivity analysis for rare events based on Rényi divergence
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A CLT for infinitely stratified estimators, with applications to debiased MLMC
Excessive backlog probabilities of two parallel queues
On the exit time from open sets of some semi-Markov processes
Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
Rejection- and importance-sampling-based perfect simulation for Gibbs hard-sphere models
Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
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Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
Importance sampling for maxima on trees
A Koopman framework for rare event simulation in stochastic differential equations
Large deviations of empirical measures of diffusions in weighted topologies
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Distribution‐free Approximate Methods for Constructing Confidence Intervals for Quantiles
A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients
On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
Moments and polynomial expansions in discrete matrix-analytic models
Copula sensitivity analysis for portfolio credit derivatives
Modeling past-dependent partial repairs for condition-based maintenance of continuously deteriorating systems
On accelerating Monte Carlo integration using orthogonal projections
Unbiased MLMC Stochastic Gradient-Based Optimization of Bayesian Experimental Designs
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
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A Rare-Event Simulation Algorithm for Periodic Single-Server Queues
On the effective dimension and multilevel Monte Carlo
Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
Low variance couplings for stochastic models of intracellular processes with time-dependent rate functions
Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds
Approximation of excessive backlog probabilities of two tandem queues
Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
Generalized parallel tempering on Bayesian inverse problems
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Sequential stratified splitting for efficient Monte Carlo integration
Algorithm 955: Approximation of the inverse Poisson cumulative distribution function
The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Product-form estimators: exploiting independence to scale up Monte Carlo
Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
Approximating the Laplace transform of the sum of dependent lognormals
Geometric integrators and the Hamiltonian Monte Carlo method
Static Network Reliability Estimation under the Marshall-Olkin Copula
On testing pseudorandom generators via statistical tests based on the arcsine law
Geometric ergodicity in a weighted Sobolev space
Large deviations for the empirical measure of the zig-zag process
Rare event simulation for steady-state probabilities via recurrency cycles
Fast methods for computing centroidal Laguerre tessellations for prescribed volume fractions with applications to microstructure generation of polycrystalline materials
Assessing the impact of jumps in an option pricing model: a gradient estimation approach
Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
Trajectory Stratification of Stochastic Dynamics
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL
DGM: a deep learning algorithm for solving partial differential equations
Multidimensional stochastic approximation
Accelerated gradient methods for nonconvex nonlinear and stochastic programming
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Bounded Relative Error Importance Sampling and Rare Event Simulation
Efficient Monte Carlo for high excursions of Gaussian random fields
A general control variate method for option pricing under Lévy processes
Latent Gaussian random field mixture models
Moderate deviation principles for stochastic differential equations with jumps
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
Derivatives of the stochastic growth rate
Uniformly efficient simulation for extremes of Gaussian random fields
On the tail asymptotics of the area swept under the Brownian storage graph
Markov chain Monte Carlo confidence intervals
Efficient Rare Event Simulation for Failure Problems in Random Media
Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
Rare-event probability estimation with conditional Monte Carlo
Exact simulation of IG-OU processes
Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields
Algorithmic Analysis of the Sparre Andersen Model in Discrete Time
Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
Efficient simulation of tail probabilities of sums of correlated lognormals
Chance-constrained problems and rare events: an importance sampling approach
On the Laplace transform of the lognormal distribution
Regeneration-enriched Markov processes with application to Monte Carlo
Rare event simulation for processes generated via stochastic fixed point equations
Sequential Monte Carlo for counting vertex covers in general graphs
Variance reduction using nonreversible Langevin samplers
Sensitivity-enhanced generalized polynomial chaos for efficient uncertainty quantification
Denoising Monte Carlo sensitivity estimates
Fixed Precision MCMC Estimation by Median of Products of Averages
A new proof of convergence of MCMC via the ergodic theorem
A Multilevel Simulation Optimization Approach for Quantile Functions
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Stochastic Optimization
Efficient estimation of large portfolio loss probabilities in $t$-copula models
Error rates and improved algorithms for rare event simulation with heavy Weibull tails
Hybrid scheme for Brownian semistationary processes
Evolution of resistance to anti-cancer therapy during general dosing schedules
Multivariate Shortfall Risk Allocation and Systemic Risk

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