Monte-Carlo methods and stochastic processes. From linear to non-linear
discretizationmonographregressionstochastic partial differential equationscentral limit theoremconfidence intervalsdynamic programmingimportance samplingMetropolis-Hastings algorithmnumerical integrationOrnstein-Uhlenbeck processRobbins-Monro algorithmvariance reductionalgorithmGaussian distributionHalton sequencestochastic optimizationBrownian motionMonte Carlo methodsdiscrepancydiffusion processEuler schemeFeynman-Kac formulaheat equationlaw of large numbersdistributionsmultidimensional integralsrare eventsBrownian bridgeCauchy distributionEdgeworth expansionsEsscher transformlogarithmic Sobolev inequalitylinear congruential generatorstochastic simulationsexpectationsimulated annealing algorithmHoeffding inequalityMcKean-Vlasov equationsKoksma-Hlawka inequalitystatistical error estimateslinear stochastic processVan der Corput sequenceBerry-Essen boundsnonlinear stochastic processrandom Gibbs samplerstratification estimatorItô formulaItô process
General nonlinear regression (62J02) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Combinatorial optimization (90C27) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Monte Carlo simulation with applications to finance.
- scientific article; zbMATH DE number 699438
- Stochastic simulation and Monte-Carlo methods.
- Monte-Carlo methods and stochastic processes. From linear to non-linear
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- A probabilistic reduced basis method for parameter-dependent problems
- Stochastic simulation and Monte-Carlo methods.
- Three ways to solve partial differential equations with neural networks — A review
- Global sensitivity analysis for models described by stochastic differential equations
- Stochastic numerical methods. An introduction for students and scientists
- Numerical methods for Stochastic differential equations: two examples
- Variance reduction for additive functionals of Markov chains via martingale representations
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Monte Carlo methods for partial differential equations. With applications to electronic design automation
- Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests
- An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
- A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- Variance reduction for dependent sequences with applications to stochastic gradient MCMC
- Controlled sequential Monte Carlo
- Variance reduction for Markov chains with application to MCMC
- A transformed stochastic Euler scheme for multidimensional transmission PDE
- How many inner simulations to compute conditional expectations with least-square Monte Carlo?
- Uniform strong and weak error estimates for numerical schemes applied to multiscale SDEs in a Smoluchowski-Kramers diffusion approximation regime
- Uniform error bounds for numerical schemes applied to multiscale SDEs in a Wong-Zakai diffusion approximation regime
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- Iterative schemes for probabilistic domain decomposition
- Monte-Carlo simulation
- Sequential convex programming for non-linear stochastic optimal control
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Stochastic Methods for Solving High-Dimensional Partial Differential Equations
- scientific article; zbMATH DE number 421868 (Why is no real title available?)
- Hybrid PDE solver for data-driven problems and modern branching
- An implementation of Milstein's method for general bounded diffusions
- Monte-Carlo methods and stochastic processes. From linear to non-linear
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