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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Editorial: rare-event simulation for queues
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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
Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance
Control variates and conditional Monte Carlo for basket and Asian options
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Variational and optimal control representations of conditioned and driven processes
Recombining tree approximations for optimal stopping for diffusions
Importance sampling of heavy-tailed iterated random functions
A theoretical and empirical comparison of gradient approximations in derivative-free optimization
Scalable information inequalities for uncertainty quantification
Importance sampling for metastable and multiscale dynamical systems
Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations
Modeling of a diffusion with aggregation: rigorous derivation and numerical simulation
On a stochastic neuronal model integrating correlated inputs
Efficient algorithms for tail probabilities of exchangeable lognormal sums
Generalized uniformly optimal methods for nonlinear programming
On comparison of multiserver systems with multicomponent mixture distributions
Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
Probabilistic bisection converges almost as quickly as stochastic approximation
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
Transformations and Hardy-Krause variation
A unified framework for stochastic optimization
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

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