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)

Cited In (only showing first 100 items - show all)

Editorial: rare-event simulation for queues
A painless intrusive polynomial chaos method with RANS-based applications
Turbocharging Monte Carlo pricing for the rough Bergomi model
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
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
Exact simulation of multidimensional reflected Brownian motion
The Spacey Random Walk: A Stochastic Process for Higher-Order Data
A broad view of queueing theory through one issue
Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
Fractional Erlang queues
Advances in modeling and simulation. Festschrift for Pierre L'Ecuyer on the occasion of his 70th birthday
Hybrid simulation scheme for volatility modulated moving average fields
Reinforcement learning, sequential Monte Carlo and the EM algorithm
Linear stochastic fluid networks: rare-event simulation and Markov modulation
Tail behavior of sums and differences of log-normal random variables
Simulating random variables using moment-generating functions and the saddlepoint approximation
Exact asymptotics of sample-mean-related rare-event probabilities
Comments on: ``Polling: past, present and perspective
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
Representations of \(\max\)-stable processes via exponential tilting
A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
Foreign exchange options on Heston-CIR model under Lévy process framework
Rare event simulation for a slotted time M/G/s model
A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
Simulation of non-Lipschitz stochastic differential equations driven by \(\alpha\)-stable noise: a method based on deterministic homogenization
On the efficient simulation of the left-tail of the sum of correlated log-normal variates
On the generalization of the hazard rate twisting-based simulation approach
Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
Generalized birthday problems in the large-deviations regime
Efficient importance sampling for large sums of independent and identically distributed random variables
Simulation and the Monte Carlo method
On sampling rates in simulation-based recursions
Analysis of directional dependence using asymmetric copula-based regression models
Pricing and risk of swing contracts in natural gas markets
Efficient large deviation estimation based on importance sampling
Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
On the error rate of conditional quasi-Monte Carlo for discontinuous functions
A Bayesian approach to parameter inference in queueing networks
Simulating events of unknown probabilities via reverse time martingales
Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance
Control variates and conditional Monte Carlo for basket and Asian options
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Variational and optimal control representations of conditioned and driven processes
Recombining tree approximations for optimal stopping for diffusions
Importance sampling of heavy-tailed iterated random functions
A theoretical and empirical comparison of gradient approximations in derivative-free optimization
Scalable information inequalities for uncertainty quantification
Importance sampling for metastable and multiscale dynamical systems
Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations
Modeling of a diffusion with aggregation: rigorous derivation and numerical simulation
On a stochastic neuronal model integrating correlated inputs
Efficient algorithms for tail probabilities of exchangeable lognormal sums
Generalized uniformly optimal methods for nonlinear programming
On comparison of multiserver systems with multicomponent mixture distributions
Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
Probabilistic bisection converges almost as quickly as stochastic approximation
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
Transformations and Hardy-Krause variation
A unified framework for stochastic optimization
An efficient simulation algorithm for the generalized von Mises distribution of order two
Adaptive sampling line search for local stochastic optimization with integer variables
Plateau proposal distributions for adaptive component-wise multiple-try metropolis
Exact simulation for the first hitting time of Brownian motion and Brownian bridge
Sensitivity analysis for rare events based on Rényi divergence
Unbiased simulation of distributions with explicitly known integral transforms
Static network reliability estimation under the Marshall-Olkin copula
Systemic risk and default clustering for large financial systems
A CLT for infinitely stratified estimators, with applications to debiased MLMC
Multilevel Monte Carlo approximation of functions
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
Mortality risk management under the factor copula framework -- with applications to insurance policy pools
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
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
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Inference via low-dimensional couplings
On accelerating Monte Carlo integration using orthogonal projections
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
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

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