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)

Backward coalescence times for perfect simulation of chains with infinite memory
A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
Tail asymptotics of light-tailed Weibull-like sums
Sensitivity estimates for portfolio credit derivatives using Monte Carlo
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
Ruin by dynamic contagion claims
Refined large deviations asymptotics for Markov-modulated infinite-server systems
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
On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
Multilevel estimation of expected exit times and other functionals of stopped diffusions
Algorithms for Kullback-Leibler approximation of probability measures in infinite dimensions
Rare event simulation for multiscale diffusions in random environments
Markov Bridges, Bisection and Variance Reduction
Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
Adaptive sampling of large deviations
Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process
Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Fast computation of high-dimensional multivariate normal probabilities
On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
Analysis of adaptive multilevel splitting algorithms in an idealized case
Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
Stationary workload and service times for some nonwork-conserving M/G/1 preemptive LIFO queues
Aggregation of rapidly varying risks and asymptotic independence
Importance Sampling for Failure Probabilities in Computing and Data Transmission
Estimation of integrals with respect to infinite measures using regenerative sequences
Sensitivity analysis for diffusion processes constrained to an orthant
A probabilistic method for certification of analytically redundant systems
A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
Shapley Effects for Global Sensitivity Analysis: Theory and Computation
Efficient finite-difference method for computing sensitivities of biochemical reactions
Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
Quantum algorithm and circuit design solving the Poisson equation
On an automatic and optimal importance sampling approach with applications in finance
Coupling from the past with randomized quasi-Monte Carlo
Steady-state simulation of reflected Brownian motion and related stochastic networks
A risk model with renewal shot-noise Cox process
Computing return times or return periods with rare event algorithms
Central limit theorem for adaptive multilevel splitting estimators in an idealized setting
Scaling properties of weakly self-avoiding fractional Brownian motion in one dimension
Large deviations for weighted empirical measures arising in importance sampling
Frequency-domain deviational Monte Carlo method for linear oscillatory gas flows
An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
Density estimation by randomized quasi-Monte Carlo
Monte Carlo estimation of the density of the sum of dependent random variables
Minimizing the Maximum Expected Waiting Time in a Periodic Single-Server Queue with a Service-Rate Control
Sharp asymptotics for large portfolio losses under extreme risks
Exact tail asymptotics of the supremum attained by a Lévy process
A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
\(V\)-uniform ergodicity for state-dependent single class queueing networks
A theoretical examination of diffusive molecular dynamics
Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
Exact Monte Carlo simulation of killed diffusions
Equivalence and nonequivalence of ensembles: thermodynamic, macrostate, and measure levels
Exact simulation of Ornstein–Uhlenbeck tempered stable processes
Paid-incurred chain claims reserving method
On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
Adaptive importance sampling for network growth models
Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
Robust bounds in multivariate extremes
Exact estimation for Markov chain equilibrium expectations
Importance sampling in path space for diffusion processes with slow-fast variables
Control Theory and Experimental Design in Diffusion Processes
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

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