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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Multidimensional stochastic approximation
Accelerated gradient methods for nonconvex nonlinear and stochastic programming
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Bounded Relative Error Importance Sampling and Rare Event Simulation
Efficient Monte Carlo for high excursions of Gaussian random fields
A general control variate method for option pricing under Lévy processes
Latent Gaussian random field mixture models
Moderate deviation principles for stochastic differential equations with jumps
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
Derivatives of the stochastic growth rate
Uniformly efficient simulation for extremes of Gaussian random fields
On the tail asymptotics of the area swept under the Brownian storage graph
Markov chain Monte Carlo confidence intervals
Multiresolution functional ANOVA for large-scale, many-input computer experiments
Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
Rare-event probability estimation with conditional Monte Carlo
Exact simulation of IG-OU processes
Algorithmic Analysis of the Sparre Andersen Model in Discrete Time
Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
Efficient simulation of tail probabilities of sums of correlated lognormals
Chance-constrained problems and rare events: an importance sampling approach
On the Laplace transform of the lognormal distribution
Regeneration-enriched Markov processes with application to Monte Carlo
Rare event simulation for processes generated via stochastic fixed point equations
Sequential Monte Carlo for counting vertex covers in general graphs
Variance reduction using nonreversible Langevin samplers
Sensitivity-enhanced generalized polynomial chaos for efficient uncertainty quantification
Denoising Monte Carlo sensitivity estimates
Fixed Precision MCMC Estimation by Median of Products of Averages
A new proof of convergence of MCMC via the ergodic theorem
A Multilevel Simulation Optimization Approach for Quantile Functions
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
Efficient estimation of large portfolio loss probabilities in $t$-copula models
Error rates and improved algorithms for rare event simulation with heavy Weibull tails
Hybrid scheme for Brownian semistationary processes
Evolution of resistance to anti-cancer therapy during general dosing schedules
Multivariate Shortfall Risk Allocation and Systemic Risk
A large-deviations analysis of Markov-modulated infinite-server queues
On adaptive stratification
Efficient rare event simulation for failure problems in random media
Markov chain importance sampling with applications to rare event probability estimation
On the optimization of two-class work-conserving parameterized scheduling policies
Improving the convergence of reversible samplers
Using the $M/G/1$ queue under processor sharing for exact simulation of queues
An adaptive zero-variance importance sampling approximation for static network dependability evaluation
Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
Exact simulation of the stationary distribution of the FIFO M/G/c queue: the general case for $\rho < c$
Handbooks in operations research and management science: Simulation
Simulation-based confidence bounds for two-stage stochastic programs
Adaptive Bayesian procedures using random series priors
Perturbation analysis of Poisson processes
Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
Stochastic algorithms
The splitting method for decision making
Boundary crossing of order statistics point processes
Lévy processes with two-sided reflection
Approximating zero-variance importance sampling in a reliability setting
Improved cross-entropy method for estimation
Foundations and methods of stochastic simulation. A first course
Multi-element stochastic spectral projection for high quantile estimation
A stochastic quasi-Newton method for large-scale optimization
Efficient importance sampling for binary contingency tables
Efficient Monte Carlo simulation for integral functionals of Brownian motion
The design and analysis of a generalized RESTART/DPR algorithm for rare event simulation
Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
Numerical methods for Lévy processes
Deep Learning for Marginal Bayesian Posterior Inference with Recurrent Neural Networks
Exponential family techniques for the lognormal left tail
Integrating location and network restoration decisions in relief networks under uncertainty
Efficient simulation for dependent rare events with applications to extremes
The sample size required in importance sampling
ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization
State-dependent importance sampling for regularly varying random walks
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New efficient estimators in rare event simulation with heavy tails
Simulation-based computation of the workload correlation function in a Lévy-driven queue
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
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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

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