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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(only showing first 100 items - show all)- 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
- Recombining tree approximations for optimal stopping for diffusions
- Exact simulation of multidimensional reflected Brownian motion
- Importance sampling of heavy-tailed iterated random functions
- On the error rate of conditional quasi-Monte Carlo for discontinuous functions
- On sampling rates in simulation-based recursions
- A Bayesian approach to parameter inference in queueing networks
- Generalized uniformly optimal methods for nonlinear programming
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
- Representations of \(\max\)-stable processes via exponential tilting
- On comparison of multiserver systems with multicomponent mixture distributions
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- Fractional Erlang queues
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Analysis of directional dependence using asymmetric copula-based regression models
- Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
- A theoretical and empirical comparison of gradient approximations in derivative-free optimization
- Tail behavior of sums and differences of log-normal random variables
- Advances in modeling and simulation. Festschrift for Pierre L'Ecuyer on the occasion of his 70th birthday
- The Spacey Random Walk: A Stochastic Process for Higher-Order Data
- Hybrid simulation scheme for volatility modulated moving average fields
- Simulation of non-Lipschitz stochastic differential equations driven by \(\alpha\)-stable noise: a method based on deterministic homogenization
- 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
- 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
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