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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Multidimensional stochastic approximation
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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
The Splitting Method for Decision Making
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
A large-deviations analysis of Markov-modulated infinite-server queues
On adaptive stratification
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Lévy Processes with Two-Sided Reflection
On the optimization of two-class work-conserving parameterized scheduling policies
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An adaptive zero-variance importance sampling approximation for static network dependability evaluation
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Handbooks in operations research and management science: Simulation
Simulation-based confidence bounds for two-stage stochastic programs
Perturbation analysis of Poisson processes
Stochastic algorithms
Large deviations for weighted empirical measures arising in importance sampling
Boundary crossing of order statistics point processes
Approximating zero-variance importance sampling in a reliability setting
Improved cross-entropy method for estimation
Multi-element stochastic spectral projection for high quantile estimation
A stochastic quasi-Newton method for large-scale optimization
Efficient importance sampling for binary contingency tables
Efficient Monte Carlo simulation for integral functionals of Brownian motion
The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
Numerical methods for Lévy processes
Deep Learning for Marginal Bayesian Posterior Inference with Recurrent Neural Networks
Multi-Resolution Functional ANOVA for Large-Scale, Many-Input Computer Experiments
Exponential family techniques for the lognormal left tail
Integrating location and network restoration decisions in relief networks under uncertainty
Efficient simulation for dependent rare events with applications to extremes
The sample size required in importance sampling
State-dependent importance sampling for regularly varying random walks
Adaptive Bayesian Procedures Using Random Series Priors
Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach
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New efficient estimators in rare event simulation with heavy tails
Simulation-based computation of the workload correlation function in a Lévy-driven queue
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Turbocharging Monte Carlo pricing for the rough Bergomi model
On the Error Rate of Conditional Quasi--Monte Carlo for Discontinuous Functions
Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
Importance sampling the union of rare events with an application to power systems analysis
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The Spacey Random Walk: A Stochastic Process for Higher-Order Data
GENERALIZED BIRTHDAY PROBLEMS IN THE LARGE-DEVIATIONS REGIME
A broad view of queueing theory through one issue
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Fractional Erlang queues
Hybrid simulation scheme for volatility modulated moving average fields
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Recombining Tree Approximations for Optimal Stopping for Diffusions
Linear stochastic fluid networks: rare-event simulation and Markov modulation
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Simulating random variables using moment-generating functions and the saddlepoint approximation
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Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary

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