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)

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
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
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
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
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
A deep learning Galerkin method for the second-order linear elliptic equations
Unbiased MLMC stochastic gradient-based optimization of Bayesian experimental designs
A rare-event simulation algorithm for periodic single-server queues
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

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