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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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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Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds
Approximation of excessive backlog probabilities of two tandem queues
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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
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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
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A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
Tail asymptotics of light-tailed Weibull-like sums
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Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
Sequential estimation for prescribed statistical accuracy in stochastic simulation of biological systems
Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
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The coalescence of intrahost HIV lineages under symmetric CTL attack
Approximation and simulation of infinite-dimensional Lévy processes
On the validity of the batch quantile method for Markov chains
The empirical likelihood approach to quantifying uncertainty in sample average approximation
Markov Bridges, Bisection and Variance Reduction
Adaptive sampling of large deviations
Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process
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Fast computation of high-dimensional multivariate normal probabilities
On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
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Density Estimation by Randomized Quasi-Monte Carlo
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Scaling properties of weakly self-avoiding fractional Brownian motion in one dimension

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